Finite-sample instrumental variables inference using an asymptotically pivotal statistic

DOI10.1017/S0266466603195023MaRDI QIDQ4561979zbMATH OpenFDO

Authors Paul A. Bekker, Frank Kleibergen

Publication date 14 December 2018

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

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Cites work

• A New Specification Test for the Validity of Instrumental Variables
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• 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)

• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
• 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
• scientific article; zbMATH DE number 653059 (Why is no real title available?)
• Some results on the finite sample significance levels of instrumental variable tests for non-nested models

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