Tests with correct size when instruments can be arbitrarily weak
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Publication:2630073
DOI10.1016/j.jeconom.2009.01.012zbMath1431.62655OpenAlexW1977694279MaRDI QIDQ2630073
Publication date: 25 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.01.012
Related Items (27)
Testing with many weak instruments ⋮ Performance of conditional Wald tests in IV regression with weak instruments ⋮ Symmetry-based inference in an instrumental variable setting ⋮ Exactly distribution-free inference in instrumental variables regression with possibly weak instruments ⋮ Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments ⋮ Inverting the indirect -- the ellipse and the boomerang: visualizing the confidence intervals of the structural coefficient from two-stage least squares ⋮ Bootstrap Confidence Sets with Weak Instruments ⋮ On Kolmogorov asymptotics of estimators of the misclassification error rate in linear discriminant analysis ⋮ A note on the relation between local power and robustness to misspecification ⋮ Discussion on “Instrumented Difference-in-Differences” by Ting Ye, Ashkan Ertefaie, James Flory, Sean Hennessy & Dylan S. Small ⋮ Instrument strength in IV estimation and inference: a guide to theory and practice ⋮ Phoebus J. Dhrymes (1932–2016) ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference ⋮ One instrument to rule them all: the bias and coverage of just-ID IV ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Testing identification strength ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Testing the adequacy of conventional asymptotics in GMM ⋮ Controlling the size of autocorrelation robust tests ⋮ GEL statistics under weak identification ⋮ RELIABLE INFERENCE FOR GMM ESTIMATORS? FINITE SAMPLE PROPERTIES OF ALTERNATIVE TEST PROCEDURES IN LINEAR PANEL DATA MODELS ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors ⋮ Tests based on \(t\)-statistics for IV regression with weak instruments ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
Cites Work
- The nonexistence of \(100(1-\alpha)\%\) confidence sets of finite expected diameter in errors-in-variables and related models
- Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
- Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
- The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
- Instrumental Variables Regression with Weak Instruments
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- GMM with Weak Identification
- A Conditional Likelihood Ratio Test for Structural Models
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
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