A Shrinkage Instrumental Variable Estimator for Large Datasets
نویسندگان
چکیده
منابع مشابه
A Shrinkage Instrumental Variable Estimator for Large Datasets
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 ...
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ژورنال
عنوان ژورنال: L'Actualité économique
سال: 2016
ISSN: 1710-3991,0001-771X
DOI: 10.7202/1036914ar