Performance of conditional Wald tests in IV regression with weak instruments

DOI10.1016/J.JECONOM.2006.06.007MaRDI QIDQ280234zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3930130 (Why is no real title available?)
• scientific article; zbMATH DE number 5198649 (Why is no real title available?)
• A Conditional Likelihood Ratio Test for Structural Models
• Choosing the Number of Instruments
• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• Instrumental Variables Regression with Weak Instruments
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Some Properties of a Modification of the Limited Information Estimator
• Tests with correct size when instruments can be arbitrarily weak
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations

Cited in

(17)

• Conditional inference in \textit{cis}-Mendelian randomization using weak genetic factors
• Robust confidence sets in the presence of weak instruments
• Statistical inference in dynamic panel data models
• scientific article; zbMATH DE number 5198649 (Why is no real title available?)
• 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
• Applications of subsampling, hybrid, and size-correction methods
• Testing endogeneity with high dimensional covariates
• On optimal inference in the linear IV model
• Do better schools lead to more growth? Cognitive skills, economic outcomes, and causation
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
• Instrument strength in IV estimation and inference: a guide to theory and practice
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
• Bootstrap confidence sets with weak instruments
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference

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