Inference in limited dependent variable models robust to weak identification

DOI10.1111/J.1368-423X.2009.00309.XMaRDI QIDQ6111442zbMATH OpenFDO

Authors Leandro M. Magnusson

Publication date 6 July 2023

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2009.00309.X

zbMATH Keywords

hypothesis testinglimited dependent variable modelsminimum chi-square estimationweak identification

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(11)

• On weak identification in structural VARMA models
• Weak identification in probit models with endogenous covariates
• Estimation and inference with weak, semi-strong, and strong identification
• The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
• Efficient specification tests for limited dependent variable models
• Inference for VARs identified with sign restrictions
• GEL statistics under weak identification
• Binary outcomes, OLS, 2SLS and IV probit
• Weak identification with bounds in a class of minimum distance models
• Identifying the volatility risk price through the leverage effect
• Weak identification in discrete choice models

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