Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics

DOI10.1016/J.JECONOM.2006.06.010MaRDI QIDQ280239zbMATHOpenAlexFDO

Authors Frank Kleibergen

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.2006.06.010

zbMATH Keywords

likelihood ratio statisticsGMMrank reductionscore or Lagrange multiplier statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

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• GMM with Weak Identification
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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Hypothesis Testing with Efficient Method of Moments Estimation
• Inferring the rank of a matrix
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• Large Sample Properties of Generalized Method of Moments Estimators
• On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
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• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• TESTS OF RANK
• Testing Parameters in GMM Without Assuming that They Are Identified
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The nonexistence of \(100(1-\alpha)\%\) confidence sets of finite expected diameter in errors-in-variables and related models

Cited in

(12)

• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• A semi-parametric Bayesian approach to the instrumental variable problem
• Two robust tools for inference about causal effects with invalid instruments
• Bootstrap inference in a linear equation estimated by instrumental variables
• Phoebus J. Dhrymes (1932–2016)
• Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
• Tests of risk premia in linear factor models
• Identification-robust nonparametric inference in a linear IV model
• Linear model IV estimation when instruments are many or weak
• ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION

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