On adding over-identifying instrumental variables to simultaneous equations
Reducing the number of over-identifying instruments, or adding them to a structural equation, increases estimation dispersion. Added instruments should be insignificant under correct specification, with parameter estimates nearly unaffected, confirmed by Monte Carlo. Selecting instruments does not affect these results.
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"Testing the Invariance of Expectations Models of Inflation,"
21/2010, Oslo University, Department of Economics.
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- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
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