Specification testing in models with many instruments

DOI10.1017/S0266466610000307MaRDI QIDQ3168876zbMATH OpenFDO

Authors Stanislav Anatolyev, Nikolay Gospodinov

Publication date 27 April 2011

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466610000307

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Instrumental variables estimation and inference in the presence of many exogenous regressors
• On bootstrap validity for specification testing with many weak instruments
• Testing with many weak instruments
• Inference in instrumental variable models with heteroskedasticity and many instruments

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Asymptotic Formulas for Significance Levels of Certain Distributions
• Consistent Estimation with a Large Number of Weak Instruments
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• GMM inference when the number of moment conditions in large
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Testing with many weak instruments

Cited in

(21)

• Minimum distance approach to inference with many instruments
• On bootstrap validity for specification testing with many weak instruments
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• Testing with many weak instruments
• GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Instrumental variables estimation and inference in the presence of many exogenous regressors
• Inference in regression models with many regressors
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
• Finite sample properties of the GMM Anderson-Rubin test
• Bootstrap inference for instrumental variable models with many weak instruments
• A conditional linear combination test with many weak instruments
• Testing many restrictions under heteroskedasticity
• A Ridge-Regularized Jackknifed Anderson-Rubin Test
• Testing for peer effects without specifying the network structure
• Inference with many instruments: when is Anderson-Rubin test still useful?
• Identification- and many moment-robust inference via invariant moment conditions
• Testing overidentifying restrictions on high-dimensional instruments and covariates
• A uniformly valid test for instrument exogeneity
• Enhanced Power Enhancements for Testing Many Moment Equalities: Beyond the 2- and ∞-norm
• Hahn-Hausman test as a specification test

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