Using invalid instruments on purpose: Focused moment selection and averaging for GMM

Published 2016 View Full Article

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Title
Using invalid instruments on purpose: Focused moment selection and averaging for GMM
Authors
Keywords
Moment selection, GMM estimation, Model averaging, Focused Information Criterion, Post-selection estimators
Journal
JOURNAL OF ECONOMETRICS
Volume 195, Issue 2, Pages 187-208
Publisher
Elsevier BV
Online
2016-08-25
DOI
10.1016/j.jeconom.2016.07.006

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