A shrinkage instrumental variable estimator for large datasets
Title: A shrinkage instrumental variable estimator for large datasets
Series/Number: Queen Mary University of London; Working Papers; 2008/626
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.
Files in this item
There are no files associated with this item.