Efficient size correct subset inference in homoskedastic linear instrumental variables regression

DOI10.1016/j.jeconom.2019.10.013zbMath1464.62225OpenAlexW3012352721MaRDI QIDQ2225004

Frank Kleibergen

Publication date: 4 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.10.013

zbMATH Keywords

identificationweak instrumentsconditional inferenceasymptotic sizesubset testingdiscriminatory power

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (4)

IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ A test for Kronecker product structure covariance matrix ⋮ Detecting identification failure in moment condition models

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