Arbeitspapier

pca2: implementing a strategy to reduce the instrument count in panel GMM

The problem of instrument proliferation and its consequences (overfitting of the endogenous explanatory variables, biased IV and GMM estimators, weakening of the power of the overidentification tests) are well known. This paper introduces a statistical method to reduce the instrument count. The principal component analysis (PCA) is applied on the instrument matrix, and the PCA scores are used as instruments for the panel generalized method-of-moments (GMM) estimation. This strategy is implemented through the new command pca2.

Language: Englisch

Bibliographic citation: Series: Quaderni - Working Paper DSE ; No. 960

Classification: Wirtschaft
Estimation: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
Computational Techniques; Simulation Modeling

Event: Geistige Schöpfung

(who): Bontempi, Maria Elena
Mammi, Irene

Event: Veröffentlichung

(who): Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)

(where): Bologna

(when): 2014

DOI: doi:10.6092/unibo/amsacta/4071

Handle: http://hdl.handle.net/10419/159799

Last update: 10.03.2025, 11:42 AM CET

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Arbeitspapier

Associated

Bontempi, Maria Elena
Mammi, Irene
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)

Time of origin

2014

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pca2: implementing a strategy to reduce the instrument count in panel GMM

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Other Objects (12)

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