Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

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Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
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ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
Structural inference from reduced forms with many instruments
Tests with correct size when instruments can be arbitrarily weak

Cited in

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Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
Linear model IV estimation when instruments are many or weak
On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
Conceptual frameworks and experimental design in simultaneous equations
Robust uniform inference for quantile treatment effects in regression discontinuity designs
Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
Score tests in GMM: why use implied probabilities?
Efficient size correct subset inference in homoskedastic linear instrumental variables regression
Inference in second-order identified models
Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
Generic results for establishing the asymptotic size of confidence sets and tests
Projection-based inference with particle swarm optimization
Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
Some properties of tests for parameters that can be arbitrarily close to being unidentified
Structural inference from reduced forms with many instruments
Bonferroni-based size-correction for nonstandard testing problems
Fiscal episodes and market power
Estimation uncertainty in structural inflation models with real wage rigidities
Tests based on t-statistics for IV regression with weak instruments
Identification robust inference in cointegrating regressions
Instrumental variables: an econometrician's perspective
Tests with correct size when instruments can be arbitrarily weak
Combining estimators to improve structural model estimation and inference under quadratic loss
Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
Testing with many weak instruments
Performance of conditional Wald tests in IV regression with weak instruments
Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
GMM estimation and uniform subvector inference with possible identification failure
Rank tests for instrumental variables regression with weak instruments
Symmetry-based inference in an instrumental variable setting
Generalized empirical likelihood tests in time series models with potential identification failure
Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
Instrumental variable quantile regression: a robust inference approach
Examining bias in estimators of linear rational expectations models under misspecification
Weak identification robust tests in an instrumental quantile model
A semi-parametric Bayesian approach to the instrumental variable problem
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
A new projection-type split-sample score test in linear instrumental variables regression
Testing the adequacy of conventional asymptotics in GMM
Bootstrap validity for the score test when instruments may be weak
Tests of risk premia in linear factor models
PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
OPTIMAL INVARIANT INFERENCE WHEN THE NUMBER OF INSTRUMENTS IS LARGE
ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
Robust, Accurate Confidence Intervals with a Weak Instrument: Quarter of Birth and Education
Subset hypotheses testing and instrument exclusion in the linear IV regression
Entropy-Based Moment Selection in the Presence of Weak Identification
Moving Average-Based Estimators of Integrated Variance
Some Properties of the Pivotal Statistic Based on the Asymptotically Distribution-Free Theory in Structural Equation Modeling
Bootstrap inference in a linear equation estimated by instrumental variables
ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
On Score Tests in Structural Regression Models
On statistical properties of a test for model structure selection using the extended instrumental variable approach
Vision and influence in econometrics: John Denis Sargan
Finite-sample instrumental variables inference using an asymptotically pivotal statistic
Regularized LIML for many instruments
Robust inference in nonlinear models with mixed identification strength
Inference in instrumental variable models with heteroskedasticity and many instruments
Weak instrumental variables models for longitudinal data
Bootstrap confidence sets with weak instruments
GEL statistics under weak identification
CUE with many weak instruments and nearly singular design
Maximum likelihood estimation and uniform inference with sporadic identification failure
Phoebus J. Dhrymes (1932–2016)
Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
Testing under weak identification with conditional moment restrictions
Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
Location properties of point estimators in linear instrumental variables and related models
Using implied probabilities to improve the estimation of unconditional moment restrictions for weakly dependent data
Near exogeneity, weak identification and specification testing: Some asymptotic results
Bootstrap inference for instrumental variable models with many weak instruments
On the precision of Calvo parameter estimates in structural NKPC models
Weak‐instrument robust tests in two‐sample summary‐data Mendelian randomization
Mendelian Randomization Test of Causal Effect Using High-Dimensional Summary Data
Instrument strength in IV estimation and inference: a guide to theory and practice
Jackknife estimation of a cluster-sample IV regression model with many weak instruments
A conditional linear combination test with many weak instruments
Identification-robust nonparametric inference in a linear IV model
On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference
A jackknife Lagrange multiplier test with many weak instruments
Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information
Does health behavior change after diagnosis? Evidence from fuzzy regression discontinuity
Testing firm conduct
Identification- and many moment-robust inference via invariant moment conditions
Risk premia from the cross-section of individual assets
An omitted variable bias framework for sensitivity analysis of instrumental variables
Sensitivity analysis and power in the presence of many weak instruments: application to the effect of incarceration on future earnings
Robust Permutation Tests in Linear Instrumental Variables Regression
Double robust inference for continuous updating GMM
High-frequency instruments and identification-robust inference for stochastic volatility models
Robust IV inference with clustering dependence
Identification-robust inference for the LATE with high-dimensional covariates
Robust confidence sets in the presence of weak instruments
Applications of subsampling, hybrid, and size-correction methods
The Hausman test and weak instruments

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