Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62881
Authors: 
Carriero, Andrea
Kapetanios, George
Marcellino, Massimiliano
Year of Publication: 
2008
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 626
Abstract: 
This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general conditions, and via Monte Carlo simulation show that this estimator has good potential for inference in small samples
Subjects: 
Instrumental variable estimation
2SLS
Shrinkage
Bayesian regression
JEL: 
C13
C23
C51
Document Type: 
Working Paper

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