A uniformly valid test for instrument exogeneity

DOI10.1016/J.JECONOM.2026.106231MaRDI QIDQ7287028zbMATH OpenFDO

Authors Prosper Dovonon, Nikolay Gospodinov

Publication date 23 June 2026

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2026.106231

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Asymptotic Theory of Integrated Conditional Moment Tests
• Consistent Estimation with a Large Number of Weak Instruments
• Consistent model specification tests
• Discontinuities of weak instrument limiting distributions.
• Efficient GMM with nearly-weak instruments
• Efficient minimum distance estimation with multiple rates of convergence
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• Estimation and inference with weak, semi-strong, and strong identification
• Exogeneity tests and weak identification in IV regressions: asymptotic theory and point estimation
• Generalization of GMM to a continuum of moment conditions
• GMM with Many Moment Conditions
• GMM with Weak Identification
• Identification and Inference With Many Invalid Instruments
• Identification-robust nonparametric inference in a linear IV model
• Inference in linear regression models with many covariates and heteroscedasticity
• Inference with Many Weak Instruments
• Instrumental Variables Regression with Weak Instruments
• Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• On the behavior of inconsistent instrumental variable estimators
• Relevant moment selection under mixed identification strength
• Semiparametric tests of conditional moment restrictions under weak or partial identification
• Specification testing for conditional moment restrictions under local identification failure
• Specification testing in models with many instruments
• Spurious inference in reduced-rank asset-pricing models
• Testing conditional moment restrictions
• Testing endogeneity with high dimensional covariates
• Testing identification strength
• Testing Parameters in GMM Without Assuming that They Are Identified
• Testing with many weak instruments
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• What you export matters

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