Further results on projection-based inference in IV regressions with weak, collinear or missing instruments

DOI10.1016/J.JECONOM.2006.06.008zbMATH Open1418.62447OpenAlexW2146002993MaRDI QIDQ280236FDOQ280236

Mohamed Taamouti, Jean-Marie Dufour

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.2006.06.008

zbMATH Keywords

projectionsimultaneous equationscollinearitymissing instrumentweak instrument

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Cites Work

• The Bias of Instrumental Variable Estimators
• Title not available (Why is that?)
• Choosing the Number of Instruments
• Instrumental Variables Regression with Weak Instruments
• Title not available (Why is that?)
• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• A Consistent Method for the Selection of Relevant Instruments
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
• Title not available (Why is that?)
• A Conditional Likelihood Ratio Test for Structural Models
• A New Specification Test for the Validity of Instrumental Variables
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Simultaneous statistical inference. 2nd ed
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Title not available (Why is that?)
• DETECTING LACK OF IDENTIFICATION IN GMM
• Judging Instrument Relevance in Instrumental Variables Estimation
• Notes on bias in estimators for simultaneous equation models.
• Title not available (Why is that?)
• Title not available (Why is that?)
• CONDITIONAL INFERENCE FOR POSSIBLY UNIDENTIFIED STRUCTURAL EQUATIONS
• FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC
• Generalized Chow Tests for Structural Change: A Coordinate-Free Approach
• Testing Parameters in GMM Without Assuming that They Are Identified
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Title not available (Why is that?)
• A Contribution to the Empirics of Economic Growth

Cited In (21)

• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Finite sample multivariate tests of asset pricing models with coskewness
• Estimation uncertainty in structural inflation models with real wage rigidities
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects
• Projection-based inference with particle swarm optimization
• Identification-robust nonparametric inference in a linear IV model
• Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models
• On the precision of Calvo parameter estimates in structural NKPC models
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• Identification and inference in two-pass asset pricing models
• Instrument endogeneity and identification-robust tests: some analytical results
• Identification-robust simulation-based inference in joint discrete/continuous models for energy markets
• Robust inference in nonlinear models with mixed identification strength
• A new method of projection-based inference in GMM with weakly identified nuisance parameters
• Identification robust inference in cointegrating regressions
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION
• A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS

Uses Software

• Stata
• condivreg

   Recommendations

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