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Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection |
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| Authors: | Gunce Eryuruk Alastair R. Hall Kalidas Jana |
| Affiliation: | aITAM, Mexico;bEconomics, School of Social Sciences, University of Manchester, Manchester M13 9PL, UK;cUniversity of Texas at Brownsville, United States |
| Abstract: | In the normal linear simultaneous equations model, we demonstrate a close relationship between two recently proposed methods of instrument selection by presenting a fundamental relationship between the two sets of canonical correlations upon which the methods are based. |
| Keywords: | Contemporaneous canonical correlations Long run canonical correlations Instrument selection Two-stage least squares |
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