A more powerful subvector Anderson Rubin test in linear instrumental variables regression
From MaRDI portal
Publication:5208564
DOI10.3982/QE1116zbMath1434.62161WikidataQ127924475 ScholiaQ127924475MaRDI QIDQ5208564
Sophocles Mavroeidis, Patrik Guggenberger, Frank Kleibergen
Publication date: 8 January 2020
Published in: Quantitative Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/qe1116
62P20: Applications of statistics to economics
62F03: Parametric hypothesis testing
62J12: Generalized linear models (logistic models)
Related Items
INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS, IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS, On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test, Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models, Efficient size correct subset inference in homoskedastic linear instrumental variables regression, Generic results for establishing the asymptotic size of confidence sets and tests