Implementing a strategy to reduce the instrument count in panel GMM

被引：31

作者：

Bontempi, Maria Elena ^{[1
]}

Mammi, Irene ^{[1
]}

机构：

[1] Univ Bologna, Dept Econ, Bologna, Italy

来源：

STATA JOURNAL | 2015年 / 15卷 / 04期

关键词：

st0414; pca2; proliferation of instruments; principal component analysis; panel data; generalized method of moments; MOMENT SELECTION PROCEDURES; DATA MODELS; PRINCIPAL COMPONENTS; VARIABLE ESTIMATION; WEAK INSTRUMENTS; MONTE-CARLO; ESTIMATORS; RESTRICTIONS; PREDICTORS; REGRESSION;

D O I：

10.1177/1536867X1501500408

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

The problem of instrument proliferation and its consequences-overfitting of the endogenous explanatory variables, biased instrumental-variables and generalized method of moments estimators, and weakening of the power of the overidentification tests-are well known. This article introduces a statistical method to reduce the instrument count. Principal component analysis is applied on the instrument matrix, and the principal-component analysis scores are used as instruments for the panel generalized method of moments estimation. This strategy is implemented through the new command pca2.

引用

页码：1075 / 1097

页数：23

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