ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION

DOI10.1017/S0266466611000375zbMath1296.62043MaRDI QIDQ5389958

Patrik Guggenberger

Publication date: 24 April 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (18)

Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ A note on the relation between local power and robustness to misspecification ⋮ Minimizing sensitivity to model misspecification ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Instrumental variable estimation with first-stage heterogeneity ⋮ A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters ⋮ Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ Robust estimation with exponentially tilted Hellinger distance ⋮ A doubly corrected robust variance estimator for linear GMM ⋮ Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics ⋮ Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ A new method of projection-based inference in GMM with weakly identified nuisance parameters ⋮ The validity of instruments revisited ⋮ ADAPTIVE GMM SHRINKAGE ESTIMATION WITH CONSISTENT MOMENT SELECTION ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results

Cites Work

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