On adding over-identifying instrumental variables to simultaneous equations.
Reducing the number of over-identifying instruments, or adding them to a structural equation, increases estimation dispersion. Added instruments should be insignificant under correct specification, with parameter estimates nearly unaffected, confirmed by Monte Carlo. Selecting instruments does not a...
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Bibliographic Details
| Main Author: |
Hendry, D |
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| Format: | Journal article
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| Language: | English |
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| Published: |
Elsevier
2011
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