A new projection-type split-sample score test in linear instrumental variables regression
DOI10.1017/S0266466609990806zbMATH Open1401.62088OpenAlexW2131311927MaRDI QIDQ2995423FDOQ2995423
Saraswata Chaudhuri, Thomas S. Richardson, James Robins, Eric Zivot
Publication date: 21 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466609990806
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Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- Instrumental Variables Regression with Weak Instruments
- Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
- Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
- GMM with Weak Identification
- A Conditional Likelihood Ratio Test for Structural Models
- Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
- Optimal Structural Nested Models for Optimal Sequential Decisions
- Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
- Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
- Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
Cited In (4)
- Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
- Projection-based inference with particle swarm optimization
- ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS
- A new method of projection-based inference in GMM with weakly identified nuisance parameters
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