Performance of conditional Wald tests in IV regression with weak instruments

DOI10.1016/J.JECONOM.2006.06.007zbMATH Open1418.62408OpenAlexW1996322063MaRDI QIDQ280234FDOQ280234

Authors: Marcelo J. Moreira, Donald W. K. Andrews, James H. Stock 

Publication date: 9 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.06.007

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zbMATH Keywords

instrumental variables regressionpower envelopeconditional likelihood ratio test\(k\)-class estimatorsweak identification

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Title not available (Why is that?)
• Choosing the Number of Instruments
• Instrumental Variables Regression with Weak Instruments
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Title not available (Why is that?)
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Some Properties of a Modification of the Limited Information Estimator
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Tests with correct size when instruments can be arbitrarily weak

Cited In (17)

• Statistical inference in dynamic panel data models
• Applications of subsampling, hybrid, and size-correction methods
• ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
• Conditional inference in \textit{cis}-Mendelian randomization using weak genetic factors
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• Bootstrap confidence sets with weak instruments
• On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference
• Robust confidence sets in the presence of weak instruments
• Title not available (Why is that?)
• Tests based on \(t\)-statistics for IV regression with weak instruments
• The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identifica\-tion
• Testing endogeneity with high dimensional covariates
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Instrument strength in IV estimation and inference: a guide to theory and practice
• Do better schools lead to more growth? Cognitive skills, economic outcomes, and causation
• On optimal inference in the linear IV model

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