A regularization approach to the many instruments problem

Journal of Econometrics

Volumn 170, Issue 2, 2012, Pages 383-398

  Carrasco, Marine ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Many instruments; Mean square error; Regularization methods

Indexed keywords

DATA-DRIVEN METHODS; FINITE DIMENSIONAL; INSTRUMENTAL VARIABLES; NON-PARAMETRIC ESTIMATIONS; REGULARIZATION APPROACH; REGULARIZATION METHODS; REGULARIZATION PARAMETERS; REGULARIZATION TECHNIQUE; SEMIPARAMETRIC EFFICIENCY; SMALL SAMPLES; SMOOTHING PARAMETER;

COVARIANCE MATRIX; ESTIMATION; MEAN SQUARE ERROR;

INSTRUMENTS;

EID: 84865316796     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.05.012     Document Type: Conference Paper

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