Finite-sample instrumental variables inference using an asymptotically pivotal statistic

DOI10.1017/S0266466603195023zbMATH Open1441.62602MaRDI QIDQ4561979FDOQ4561979

Authors: Paul A. Bekker, Frank Kleibergen 

Publication date: 14 December 2018

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

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 Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• A New Specification Test for the Validity of Instrumental Variables
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

Cited In (10)

• The asymptotic model quality assessment for instrumental variable identification revisited
• Testing with many weak instruments
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Symmetry-based inference in an instrumental variable setting
• Structural inference from reduced forms with many instruments
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Finite sample properties of the GMM Anderson-Rubin test
• Title not available (Why is that?)
• Some results on the finite sample significance levels of instrumental variable tests for non-nested models
• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*

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