A Consistent Method for the Selection of Relevant Instruments

By A. Hall, Fernanda P. M. Peixe. 2003

151 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3f0cc234b4e92207470bfca6904afc5e2a72dbc1

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In Economics and Econometrics

Citations in the corpus

GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019, unknown): “As shown by Hall and Peixe (2003), these tests have also power against misspeciﬁcation, indicating that they may reject because the moment conditions are violated even if the restriction r (θ 0 ) = 0 holds.”
On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection (2006, unknown): “7; Fan and Li 2001, 2004; Hall and Peixe 2003, thm. 3; Hidalgo 2002, thm. 3.4; Lütkepohl 1990, p. 120.)”
Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments (2013, background): “Hall and Peixe (2003) study the selection of relevant IVs through canonical correlations and conduct simulations to demonstrate the importance of excluding redundant IVs in nite samples.”
A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments (2002, background): “In that circumstance, one way to proceed is to try to cull the weak instruments from the strong and to use only the strong (see Hall and Inoue 2001; Hall and Peixe 2001; Donald and Newey 2001).”
Promoting sustainable public finances in the European Union: The role of fiscal rules and government efficiency (2016, background): “These issues have not been fully analysed in the literature and there exists very little guidance on how to handle this problem in GMM estimation of dynamic panel data models, see the discussions in Hall and Peixe (2003), Roodman (2009b) and Bontempi and Mammi (2012).”
Instrumental variable estimation in the presence of many moment conditions (2011, methodology): “As considered by Hall and Peixe (2003), we may apply the method of Andrews (1999) first in order to eliminate invalid instruments and then apply the shrinkage method.”
Enhanced routines for instrumental variables/GMM estimation and testing (2007, methodology): “For example, the redundancy test proposed by Hall and Peixe (2003) is simply the LR version of this test.”
Human Capital and Wages in Exporting Firms (2008, methodology): “First, we implement the test of redundancy suggested by Hall and Peixe (2003) for each instrument 11 , but we never found any signs of redundancy of any of our instruments in any model below.”
Model Selection (2018, background): “[Other instances in the literature where this misleading interpretation has been reported include Geweke and Meese (1981), Lütkepohl (1990, p.120), Hidalgo (2002), Hall and Peixe (2003), Dufour et al. (2006).]”