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Choosing the optimal set of instruments from large instrument sets

  • Kapetanios, George
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4J622WP-2/2/b71d0cb9702519a9bc5d809cb914571f
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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. 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.
    2. Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
    3. Donald, Stephen G. & Whitney Newey, 1999. "Choosing the Number of Instruments," Working papers 99-05, Massachusetts Institute of Technology (MIT), Department of Economics.
    4. Donald W.K. Andrews, 1997. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Cowles Foundation Discussion Papers 1146R, Cowles Foundation for Research in Economics, Yale University.
    5. 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 821-41, May.
    6. 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.
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