All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

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

  This abstract has been downloaded 701 times                The Full PDF of this paper has been downloaded 133873 times