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

DOI10.3982/ECTA8953zbMATH Open1274.62150OpenAlexW2114772014MaRDI QIDQ2859552FDOQ2859552

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

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zbMATH Keywords

weak instrumentssize distortionasymptotic sizesubset inferencelinear IV model

Mathematics Subject Classification ID

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

Cited In (20)

• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• GMM estimation and uniform subvector inference with possible identification failure
• Controlling the size of autocorrelation robust tests
• Bonferroni-based size-correction for nonstandard testing problems
• INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS
• Projection-based inference with particle swarm optimization
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
• Detecting identification failure in moment condition models
• OLS and IV estimation of regression models including endogenous interaction terms
• Generic results for establishing the asymptotic size of confidence sets and tests
• Robust inference in nonlinear models with mixed identification strength
• 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
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• 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
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*

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