On adding over-identifying instrumental variables to simultaneous equations |
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| Authors: | David F Hendry |
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| Institution: | Economics Department and Institute for Economic Modelling, Oxford Martin School, Oxford University, Oxford OX1 3UQ, UK |
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| Abstract: | Reducing the number of over-identifying instruments, or adding them to a structural equation, increases estimation dispersion. Added instruments should be insignificant under correct specification, with parameter estimates nearly unaffected, confirmed by Monte Carlo. Selecting instruments does not affect these results. |
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| Keywords: | C51 C22 |
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