Decision Theory Applied to an Instrumental Variables Model

DOI10.1111/J.1468-0262.2007.00764.XMaRDI QIDQ5441622zbMATH OpenOpenAlexFDO

Authors Gary Chamberlain

Publication date 15 February 2008

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1468-0262.2007.00764.x

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Decision theory for games (91A35) Decision theory (91B06)

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Cited in

(16)

• A maximum likelihood method for the incidental parameter problem
• Minimum distance approach to inference with many instruments
• On the structure of IV estimands
• Tests based on t-statistics for IV regression with weak instruments
• Estimation of regression coefficients in a restricted measurement error model using instrumental variables
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
• Comment on Decision Theory Applied to an Instrumental Variables Model
• Decision Theory Applied to a Linear Panel Data Model
• Bayesian Instrumental Variables: Priors and Likelihoods
• Admissible, similar tests: a characterization
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Optimal Individualized Decision Rules Using Instrumental Variable Methods
• Location properties of point estimators in linear instrumental variables and related models
• Integrated likelihood inference in multinomial distributions
• Integrated likelihoods for functions of a parameter

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