Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments

DOI10.1016/J.JECONOM.2008.08.015zbMath1429.62650OpenAlexW2170941988MaRDI QIDQ299216

Marcelo J. Moreira, Donald W. K. Andrews, James H. Stock

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.015

zbMATH Keywords

two-sided testsinstrumental variables regressionpower envelopeoptimal testsinvariant tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items (6)

ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Minimum distance approach to inference with many instruments ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Performance of conditional Wald tests in IV regression with weak instruments
• Robust confidence sets in the presence of weak instruments
• Tests with correct size when instruments can be arbitrarily weak
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• On the Normalization of Structural Equations: Properties of Direction Estimators
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Instrumental Variables Regression with Weak Instruments
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Decision Theory Applied to an Instrumental Variables Model
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

This page was built for publication: Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments