Testing with many weak instruments

DOI10.1016/J.JECONOM.2006.05.012zbMATH Open1418.62409OpenAlexW1996762148MaRDI QIDQ277151FDOQ277151

James H. Stock, Donald W. K. Andrews

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.012

zbMATH Keywords

instrumental variablesweak instrumentsconditional likelihood ratio testAnderson-Rubin testLagrange multiplier testmany instrumental variables

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Choosing the Number of Instruments
• Instrumental Variables Regression with Weak Instruments
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• GMM with Many Moment Conditions
• Consistent Estimation with a Large Number of Weak Instruments
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Central limit theorem for integrated square error of multivariate nonparametric density estimators
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Title not available (Why is that?)
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations
• OPTIMAL INFERENCE WITH MANY INSTRUMENTS
• Random Effects Estimators with many Instrumental Variables
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• Martingale Central Limit Theorems
• Tests with correct size when instruments can be arbitrarily weak
• Title not available (Why is that?)
• FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC

Cited In (16)

• A conditional linear combination test with many weak instruments
• Identification in a generalization of bivariate probit models with dummy endogenous regressors
• Finite sample properties of the GMM Anderson–Rubin test
• INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS
• Moment and IV Selection Approaches: A Comparative Simulation Study
• Inference with Many Weak Instruments
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Hypothesis testing in linear regression when \(k/n\) is large
• A Ridge-Regularized Jackknifed Anderson-Rubin Test
• Linear model IV estimation when instruments are many or weak
• Robust inference in nonlinear models with mixed identification strength
• Tests with correct size when instruments can be arbitrarily weak
• Jackknife instrumental variable estimation with heteroskedasticity
• Hahn-Hausman test as a specification test
• A jackknife Lagrange multiplier test with many weak instruments
• SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS

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