Arbeitspapier
A shrinkage instrumental variable estimator for large datasets
This paper proposes and discusses an instrumental variable estimator that can be of particular relevance when many instruments are available. Intuition and recent work (see, e.g., Hahn (2002)) suggest that parsimonious devices used in the construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general conditions, and via Monte Carlo simulation show that this estimator has good potential for inference in small samples
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 626
- Classification
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Model Construction and Estimation
- Subject
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Instrumental variable estimation
2SLS
Shrinkage
Bayesian regression
Schätztheorie
Bayes-Statistik
Panel
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Carriero, Andrea
Kapetanios, George
Marcellino, Massimiliano
- Event
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Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Carriero, Andrea
- Kapetanios, George
- Marcellino, Massimiliano
- Queen Mary University of London, Department of Economics
Time of origin
- 2008
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