Subset hypotheses testing and instrument exclusion in the linear IV regression

DOI10.1017/S0266466614000462MaRDI QIDQ3465601zbMATH OpenOpenAlexFDO

Authors Firmin Doko Tchatoka

Publication date 22 January 2016

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000462

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• A method for simulating non-normal distributions
• Are ``nearly exogenous instruments reliable?
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation
• Econometric Theory and Practice
• Efficient minimum distance estimation with multiple rates of convergence
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• GMM with Weak Identification
• Inflation dynamics and the New Keynesian Phillips curve: an identification robust econometric analysis
• Instrument endogeneity and identification-robust tests: some analytical results
• Instrumental Variables Regression with Weak Instruments
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• Robust confidence sets in the presence of weak instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified
• Tests of risk premia in linear factor models
• The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations
• Theory of the segment points transformation

Cited in

(6)

• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Exogeneity tests and weak identification in IV regressions: asymptotic theory and point estimation
• scientific article; zbMATH DE number 5198649 (Why is no real title available?)
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

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