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Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection

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  • Eryuruk, Gunce
  • Hall, Alastair R.
  • Jana, Kalidas

Abstract

In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based.

Suggested Citation

  • Eryuruk, Gunce & Hall, Alastair R. & Jana, Kalidas, 2009. "Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection," Economics Letters, Elsevier, vol. 105(1), pages 83-85, October.
    • Handle: RePEc:eee:ecolet:v:105:y:2009:i:1:p:83-85
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    References listed on IDEAS

    as
    1. 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.
    2. Alastair R. Hall & Fernanda P. M. Peixe, 2003. "A Consistent Method for the Selection of Relevant Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 269-287, January.
    3. Hall, Alastair R. & Inoue, Atsushi & Jana, Kalidas & Shin, Changmock, 2007. "Information in generalized method of moments estimation and entropy-based moment selection," Journal of Econometrics, Elsevier, vol. 138(2), pages 488-512, June.
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