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

DOI10.1016/J.JECONOM.2006.06.010zbMATH Open1418.62490OpenAlexW2113590771MaRDI QIDQ280239FDOQ280239

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

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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)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Instrumental Variables Regression with Weak Instruments
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Title not available (Why is that?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• GMM with Weak Identification
• 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
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• Generalized reduced rank tests using the singular value decomposition
• Title not available (Why is that?)
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Inferring the rank of a matrix
• Title not available (Why is that?)
• Hypothesis Testing with Efficient Method of Moments Estimation
• On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
• TESTS OF RANK
• The nonexistence of \(100(1-\alpha)\%\) confidence sets of finite expected diameter in errors-in-variables and related models
• Testing Parameters in GMM Without Assuming that They Are Identified
• Title not available (Why is that?)

Cited In (12)

• 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
• ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• A semi-parametric Bayesian approach to the instrumental variable problem
• Tests of risk premia in linear factor models
• Two robust tools for inference about causal effects with invalid instruments
• Identification-robust nonparametric inference in a linear IV model
• ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
• Linear model IV estimation when instruments are many or weak
• Bootstrap inference in a linear equation estimated by instrumental variables
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
• Phoebus J. Dhrymes (1932–2016)

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