Testing with many weak instruments

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

Authors: Donald W. K. Andrews, James H. Stock 

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

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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
• Asymptotic distributions of instrumental variables statistics with many instruments
• 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 (27)

• On bootstrap validity for specification testing with many weak instruments
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
• A conditional linear combination test with many weak instruments
• Identification in a generalization of bivariate probit models with dummy endogenous regressors
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Asymptotic distributions of instrumental variables statistics with many instruments
• Inference with Many Weak Instruments
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Structural inference from reduced forms with many instruments
• Hypothesis testing in linear regression when \(k/n\) is large
• Finite sample properties of the GMM Anderson-Rubin test
• Moment and IV selection approaches: a comparative simulation study
• 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
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Specification testing in models with many instruments
• Tests with correct size when instruments can be arbitrarily weak
• Performance of conditional Wald tests in IV regression with weak instruments
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Jackknife instrumental variable estimation with heteroskedasticity
• A Conditional Likelihood Ratio Test for Structural Models
• Hahn-Hausman test as a specification test
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• A jackknife Lagrange multiplier test with many weak instruments
• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION

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