Optimal inference for instrumental variables regression with non-Gaussian errors

DOI10.1016/J.JECONOM.2011.04.004MaRDI QIDQ738130zbMATH OpenOpenAlexFDO

Authors Matias D. Cattaneo, Richard K. Crump, Michael Jansson

Publication date 15 August 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.04.004

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• NONPARAMETRIC INSTRUMENTAL REGRESSION WITH ERRORS IN VARIABLES
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models
• Nonparametric methods for inference in the presence of instrumental variables
• Instrumental variable estimation in nonlinear measurement error models
• Optimal linear instrumental variables approximations
• Efficient instrumental variables estimation of nonlinear dependent processes

Cites work

• scientific article; zbMATH DE number 1064657 (Why is no real title available?)
• scientific article; zbMATH DE number 3998953 (Why is no real title available?)
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• Adaptive estimation in a random coefficient autoregressive model
• Asymptotic Statistics
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• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
• Inference with weak instruments
• Instrumental Variables Regression with Weak Instruments
• On adaptive estimation
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Rank tests for instrumental variables regression with weak instruments
• Some Properties of a Modification of the Limited Information Estimator
• The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators
• Two Stage Least Absolute Deviations Estimators

Cited in

(16)

• SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION
• Decision Theory Applied to an Instrumental Variables Model
• OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
• Tests based on \(t\)-statistics for IV regression with weak instruments
• Applications of subsampling, hybrid, and size-correction methods
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
• On optimal inference in the linear IV model
• Optimal linear instrumental variables approximations
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• Location properties of point estimators in linear instrumental variables and related models
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Minimum distance approach to inference with many instruments
• THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
• Robust estimation with many instruments
• Locally robust inference for non-Gaussian linear simultaneous equations models

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