| Content | In this paper, we use the adaptive lasso estimator to choose the relevant instruments and eliminate the
irrelevant instruments. The limit theory of Zou (2006) is extended from univariate iid case to heteroskedastic
and non Gaussian data. Then we use the selected instruments in generalized empirical likelihood
estimators (GEL). In this sense, these are called hybrid GEL. It is also shown that the lasso estimators
are not model selection consistent whereas the adaptive lasso can select the correct model with fixed
number of instruments. In simulations we show that hybrid GEL estimators have smaller bias and mean
squared error than the other estimators in certain cases. |
