A comparative study of three data-based methods of instrument selection

We assess relative performance of three recently proposed instrument selection methods via a Monte Carlo study that investigates the finite sample behavior of the post-selection estimator of a simple linear IV model. Our results suggest that no one method dominates.Instrument selection Canonical Correlations Information Criterion Relevant Moments Selection Criterion Approximate Mean Square Error Criterion Two-stage least squares

Contemporaneous and long run canonical correlations in the linear IV model: Implications for instrument selection

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.Contemporaneous canonical correlations Long run canonical correlations Instrument selection Two-stage least squares