A new projection-type split-sample score test in linear instrumental variables regression

DOI10.1017/S0266466609990806MaRDI QIDQ2995423zbMATH OpenOpenAlexFDO

Authors Saraswata Chaudhuri, Thomas S. Richardson, Eric Zivot, James Robins

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

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Two-sample least squares projection
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Bootstrap inference in a linear equation estimated by instrumental variables
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• 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
• GMM with Weak Identification
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Instrumental Variables Regression with Weak Instruments
• Optimal Structural Nested Models for Optimal Sequential Decisions
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models

Cited in

(5)

• Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
• Two-sample least squares projection
• Projection-based inference with particle swarm optimization
• A new method of projection-based inference in GMM with weakly identified nuisance parameters
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

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