Rank tests for instrumental variables regression with weak instruments

DOI10.1017/S0266466607070429MaRDI QIDQ2886976zbMATH OpenFDO

Authors Donald W. K. Andrews, G. L. Soares

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466607070429

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Linear regression; mixed models (62J05)

Recommendations

• scientific article; zbMATH DE number 5198649
• Instrumental Variables Regression with Weak Instruments
• Tests based on t-statistics for IV regression with weak instruments
• Weak Invariance Principles for Regression Rank Statistics
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• Rank tests and regression rank score tests in measurement error models

Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• Instrumental Variables Regression with Weak Instruments
• Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Rank estimation of a location parameter in the binary choice model
• Rank Estimation of Transformation Models
• Rank estimators for monotonic index models
• Robust Rank Tests of the Unit Root Hypothesis
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified

Cited in

(18)

• Linear model IV estimation when instruments are many or weak
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Tests based on t-statistics for IV regression with weak instruments
• Tests with correct size when instruments can be arbitrarily weak
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• Testing with many weak instruments
• Performance of conditional Wald tests in IV regression with weak instruments
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Exactly distribution-free inference in instrumental variables regression with possibly weak instruments
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
• Instrumental Variables Regression with Weak Instruments
• scientific article; zbMATH DE number 5198649 (Why is no real title available?)
• Robust Permutation Tests in Linear Instrumental Variables Regression
• Applications of subsampling, hybrid, and size-correction methods
• Optimal inference for instrumental variables regression with non-Gaussian errors

This page was built for publication: Rank tests for instrumental variables regression with weak instruments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886976)