Finite sample properties of the GMM Anderson-Rubin test

DOI10.1080/07474938.2020.1761149MaRDI QIDQ5861026zbMATH OpenOpenAlexFDO

Authors Maurice J. G. Bun, Helmut Farbmacher, Rutger W. Poldermans

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/07474938.2020.1761149

zbMATH Keywords

Anderson-Rubin testcenteringdegrees-of-freedomgeneralized method of moments

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

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Cites work

• A jackknife interpretation of the continuous updating estimator
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• Conflict Among Criteria for Testing Hypotheses: Extensions and Comments
• Conflict Among the Criteria Revisited; The W, LR and LM Tests
• CUE with many weak instruments and nearly singular design
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• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
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• RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS
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• Testing, Estimation in GMM and CUE with Nearly-Weak Identification
• Weak instrument inference in the presence of parameter instability

Cited in

(3)

• Improvement in finite-sample properties of GMM-based Wald tests
• On the effect of weighting matrix in GMM specification test
• A Ridge-Regularized Jackknifed Anderson-Rubin Test

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