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Wenjie Wang and Qingfeng Liu
 
''Bootstrap-based Selection for Instrumental Variables Model''
( 2015, Vol. 35 No.3 )
 
 
This paper develops bootstrap-based method for addressing the “many instruments” problem in the context of instrumental variable estimation. We propose a plug-in restricted-efficient-residual-based (plug-in RE) bootstrap for choosing optimal number of instruments used for two-stage least squares (TSLS) and limited information maximum likelihood (LIML) estimator. In Monte Carlo experiments, we find that the instrument choice based on our plug-in RE bootstrap generally yields an improvement in finite sample performance.
 
 
Keywords: Instrument selection, Many instruments, Bootstrap, TSLS, LIML
JEL: C1 - Econometric and Statistical Methods: General
C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Jun 14 2015 Manuscript Accepted : Sep 07 2015

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