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st: Choosing the number of instruments (Donald/Newey)

From   Peter Glick <[email protected]>
To   [email protected]
Subject   st: Choosing the number of instruments (Donald/Newey)
Date   Wed, 09 Mar 2005 12:47:24 -0500


I am interested in implementing the Mean Square Error criterion of Donald And Newey (Econometrica 2001 vol. 69 n.5) for choosing among many instruments in a 2SLS context. Has anyone written code (in stata or any other language) to do this?
If so, I'd be grateful if you would be willing to share it.

Peter Glick
Cornell University

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