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...
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| Format: | Journal article |
| Language: | English |
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Elsevier
2016
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