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http://hdl.handle.net/10071/9481
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Title: Linear instrumental variables model averaging estimation
Authors: Martins, L. F.
Gabriel, V. J.
Keywords: Instrumental variables
Model selection
Model averaging
Model screening
Returns to education
Issue Date: 2014
Publisher: Elsevier
Abstract: Model averaging (MA) estimators in the linear instrumental variables regression framework are considered. The obtaining of weights for averaging across individual estimates by direct smoothing of selection criteria arising from the estimation stage is proposed. This is particularly relevant in applications in which there is a large number of candidate instruments and, therefore, a considerable number of instrument sets arising from different combinations of the available instruments. The asymptotic properties of the estimator are derived under homoskedastic and heteroskedastic errors. A simple Monte Carlo study contrasts the performance of MA procedures with existing instrument selection procedures, showing that MA estimators compare very favorably in many relevant setups. Finally, this method is illustrated with an empirical application to returns to education.
Description: WOS:000328869000053 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/19164
http://hdl.handle.net/10071/9481
ISSN: 0167-9473
Publisher version: The definitive version is available at: http://dx.doi.org/10.1016/j.csda.2013.05.008
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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