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

DOI10.1016/j.jeconom.2006.06.008zbMath1418.62447OpenAlexW2146002993MaRDI QIDQ280236

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

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

Related Items (21)

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

Uses Software

• Stata
• condivreg

Cites Work

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