Constructing Optimal Instruments by First-Stage Prediction Averaging
提出通过平均多个工具变量的最小二乘预测值来构建最优工具变量，用于两阶段最小二乘、有限信息最大似然和Fuller估计，权重通过最小化渐近均方误差确定。
This paper considers model averaging as a way to construct optimal instruments for the two-stage least squares (2SLS), limited information maximum likelihood (LIML), and Fuller estimators in the presence of many instruments. We propose averaging across least squares predictions of the endogenous variables obtained from many different choices of instruments and then use the average predicted value of the endogenous variables in the estimation stage. The weights for averaging are chosen to minimize the asymptotic mean squared error of the model averaging version of the 2SLS, LIML, or Fuller estimator. This can be done by solving a standard quadratic programming problem. Copyright 2010 The Econometric Society.