Linear instrumental variables model averaging estimation

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Linear instrumental variables model averaging estimation

Model averaging (MA) estimators in the linear instrumental variables regression framework are considered. The obtaining of weights for averaging across individual estimates by direct smoothing of selection criteria arising from the estimation stage is proposed. This is particularly relevant in applications in which there is a large number of candidate instruments and, therefore, a considerable ...

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ژورنال

عنوان ژورنال: Computational Statistics & Data Analysis

سال: 2014

ISSN: 0167-9473

DOI: 10.1016/j.csda.2013.05.008