On optimal inference in the linear IV model

DOI10.3982/QE1082MaRDI QIDQ5208563zbMATH OpenOpenAlexWikidataFDO

Authors Donald W. K. Andrews, Vadim Marmer, Zhengfei Yu

Publication date 8 January 2020

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.3982/qe1082

zbMATH Keywords

conditional likelihood ratio testconfidence intervalinfinite lengthlinear instrumental variableslinear IV regressionoptimal testsimilar testweighted average power

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Generalized linear models (logistic models) (62J12) Applications of statistics to economics (62P20)

Recommendations

• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• Optimal inference for instrumental variables regression with non-Gaussian errors
• Performance of conditional Wald tests in IV regression with weak instruments

Cited in

(10)

• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Optimal linear instrumental variables approximations
• Generic results for establishing the asymptotic size of confidence sets and tests
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Decision Theory Applied to an Instrumental Variables Model
• Identification-robust nonparametric inference in a linear IV model
• On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference
• A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedasticity

This page was built for publication: On optimal inference in the linear IV model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5208563)