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...
| 第一著者: | |
|---|---|
| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
Elsevier
2016
|