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Choosing the optimal set of instruments from large instrument sets

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  • Kapetanios, George
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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(06)00010-7
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    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 51 (2006)
    Issue (Month): 2 (November)
    Pages: 612-620

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    Handle: RePEc:eee:csdana:v:51:y:2006:i:2:p:612-620
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
    2. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
    3. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
    4. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
    5. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
    6. Morimune, Kimio, 1983. "Approximate Distributions of k-Class Estimators When the Degree of Overidentifiability Is Large Compared with the Sample Size," Econometrica, Econometric Society, vol. 51(3), pages 821-841, May.
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    Cited by:

    1. Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2655-2675, November.
    2. Malikane, Christopher, 2014. "A new Keynesian triangle Phillips curve," Economic Modelling, Elsevier, vol. 43(C), pages 247-255.
    3. Manfred GILLI & Peter WINKER, "undated". "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.

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