Subset hypotheses testing and instrument exclusion in the linear IV regression

DOI10.1017/S0266466614000462zbMATH Open1441.62886OpenAlexW3124693001MaRDI QIDQ3465601FDOQ3465601

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

Recommendations

• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
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• On the validity of Durbin-Wu-Hausman tests for partial exogeneity with weak identification
• Instrumental variables estimation and inference in the presence of many exogenous regressors

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)

Cites Work

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

Cited In (5)

• 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
• Title not available (Why is that?)
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity

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