Constructing optimal instruments by first-stage prediction averaging

Econometrica

Volumn 78, Issue 2, 2010, Pages 697-718

  Kuersteiner, Guido ^a   Okui, Ryo ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b KYOTO UNIVERSITY   (Japan)

Author keywords

Fuller's estimator; Higher order theory; Instrumental variable; LIML; Many instruments; Model averaging; Two stage least squares

Indexed keywords

EID: 77954265705     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.3982/ECTA7444     Document Type: Article

References (13)

1. Canay I A. Simultaneous Selection and Weighting of Moments in GMM Using a Trapezoidal Kernel. Journal of Econometrics 2010, forthcoming
2. Donald S G, Newey W K. Choosing the Number of Instruments. Econometrica 2001, 69:1161-1191.
3. Doornik J A. Ox 5-An Object-Oriented Matrix Programming Language 2007, London, Timberlake Consultants Ltd
4. Fuller W A. Some Properties of a Modification of the Limited Information Estimator. Econometrica 1977, 45:939-954.
5. Hahn J, Hausman J, Kuersteiner G. Estimation With Weak Instruments: Accuracy of Higher-Order Bias and MSE Approximations. Econometrics Journal 2004, 7:272-306.
6. Hansen B E. Least Squares Model Averaging. Econometrica 2007, 75:1175-1189.
7. Kuersteiner G M. Mean Squared Error Reduction for GMM Estimators of Linear Time Series Models. 2002, Unpublished Manuscript, University of California, Davis
8. Kuersteiner G, Okui R. Supplement to 'Constructing Optimal Instruments by First Stage Prediction Averaging': Auxiliary Appendix. 2010, 78(Econometrica Supplemental Material). http://www.econometricsociety.org/ecta/Supmat/7444_proofs.pdf, http://www.econometricsociety.org/ecta/Supmat/7444_data and programs.zip
9. Li K-C. Asymptotic Optimality for Cp, CL, Cross-Validation and Generalized Cross-Validation: Discrete Index Set. The Annals of Statistics 1987, 15:958-975.
10. Nagar A L. The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations. Econometrica 1959, 27:575-595.
11. Newey W K. Choosing Among Instruments Sets. 2007, Unpublished Manuscript, Massachusetts Institute of Technology
12. Okui R. Instrumental Variable Estimation in the Presence of Many Moment Conditions. Journal of Econometrics 2008, forthcoming
13. Politis D N, Romano J P. Bias-Corrected Nonparametric Spectral Estimation. Journal of Time Series Analysis 1995, 16:67-103.