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

DOI10.3982/QE1116zbMATH Open1434.62161OpenAlexW2943405780WikidataQ127924475 ScholiaQ127924475MaRDI QIDQ5208564FDOQ5208564

Authors: Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis 

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

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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)

Cited In (11)

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

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