Instrument selection for estimation of a forward-looking Phillips Curve

Tiago Berriel, Marcelo C. Medeiros, Marcelo J. Sena

Research output: Contribution to journalArticlepeer-review


We show that data-driven instrument selection based on the LASSO estimator can perform well comparative to the usual ad hoc instrument set for single equation estimation of a forward-looking Phillips Curve, when the overall identification condition is strong or in cases when the instruments are not very weak. We conclude that in face of model uncertainty and/or some potentially weak instruments within a large number of candidates, data-driven selection may provide a disciplined and more reliable estimation strategy.

Original languageEnglish (US)
Pages (from-to)123-125
Number of pages3
JournalEconomics Letters
StatePublished - Aug 1 2016
Externally publishedYes


  • Instruments
  • Model selection
  • Shrinkage

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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