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Can the effects of using all suitable lags of an instrument comparable to that of an additional basic instrument in instrumental variable regression analysis of heteroskedastic linear models?


Yip, Chee Yin and Lim, Hock Eam and Hong, Pei Yee and Yip, Seng Joe (2010) Can the effects of using all suitable lags of an instrument comparable to that of an additional basic instrument in instrumental variable regression analysis of heteroskedastic linear models? In: 6th IMT-GT International Conference on Mathematics, Statistics and Its Applications (ICMSA2010), 3-4 November 2010, The Grand Season Hotel, Kuala Lumpur.

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Abstract

It is found that using all suitable lags of one instrument can increase the efficiency of finite sample IV estimator tremendously.The former is about 10% more efficient than the latter.The efficiency gains by using all suitable lags of one instrument is approximately about 1.1 times of what can be obtained by the inclusion of a similarly powerful instrument.

Item Type: Conference or Workshop Item (Paper)
Additional Information: ISBN 978-983-41743-3-0 Organized by: Universiti Tunku Abdul Rahman (UTAR)
Uncontrolled Keywords: Efficiency; Efficiency bounds; Instrumental variables; stationary time series.
Subjects: Q Science > QA Mathematics > QA76 Computer software
Divisions: School of Economics, Finance & Banking
Depositing User: Dr. Chee Yin Yip
Date Deposited: 25 Feb 2012 07:31
Last Modified: 07 Dec 2016 02:14
URI: http://repo.uum.edu.my/id/eprint/5083

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