A more powerful subvector Anderson Rubin test in linear instrumental variables regression

DOI10.3982/QE1116MaRDI QIDQ5208564zbMATH OpenOpenAlexWikidataFDO

Authors Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis

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/qe1116

zbMATH Keywords

weak instrumentsasymptotic sizesubvector inferencelinear IV regression

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12)

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Cited in

(11)

• Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds*
• Efficient size correct subset inference in homoskedastic linear instrumental variables regression
• IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Testing underidentification in linear models, with applications to dynamic panel and asset pricing models
• Detecting identification failure in moment condition models
• Generic results for establishing the asymptotic size of confidence sets and tests
• Inference in instrumental variable models with heteroskedasticity and many instruments
• On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
• A test for Kronecker product structure covariance matrix

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