On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression

DOI10.3982/ECTA8953MaRDI QIDQ2859552zbMATH OpenOpenAlexFDO

Authors Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis, Linchun Chen

Publication date 8 November 2013

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta8953

zbMATH Keywords

weak instrumentssize distortionasymptotic sizesubset inferencelinear IV model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

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Cited in

(23)

• Robust inference in nonlinear models with mixed identification strength
• Identification robust inference in cointegrating regressions
• Generic results for establishing the asymptotic size of confidence sets and tests
• Confidence sets based on inverting Anderson-Rubin tests
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• A new projection-type split-sample score test in linear instrumental variables regression
• On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
• Subset hypotheses testing and instrument exclusion in the linear IV regression
• A test of the independence of subsets of instrumental variables and regressors
• Controlling the size of autocorrelation robust tests
• Projection-based inference with particle swarm optimization
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• A more powerful subvector Anderson Rubin test in linear instrumental variables regression
• OLS and IV estimation of regression models including endogenous interaction terms
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• GMM estimation and uniform subvector inference with possible identification failure
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
• Bonferroni-based size-correction for nonstandard testing problems
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Detecting identification failure in moment condition models

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