Using invalid instruments on purpose: focused moment selection and averaging for GMM
In finite samples, the use of a slightly endogenous but highly relevant instrument can reduce mean-squared error (MSE). Building on this observation, I propose a novel moment selection procedure for GMM–the Focused Moment Selection Criterion (FMSC)–in which moment conditions are chosen not based on...
| প্রধান লেখক: | |
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| বিন্যাস: | Journal article |
| ভাষা: | English |
| প্রকাশিত: |
Elsevier
2016
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