The classical principles of testing using instrumental variables estimates

DOI10.1016/0304-4076(90)90059-3MaRDI QIDQ908645zbMATH OpenOpenAlexFDO

Authors Michael A. Magdalinos

Publication date 1990

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(90)90059-3

zbMATH Keywords

approximationk-class instrumental variables estimationLagrange multiplier testslikelihood ratio testlimited information maximum likelihoodLIML estimatorlinear restrictionslocal power functionsize-corrected testssmall samplesstochastic regressorstwo-stage least squaresWald test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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Cites work

• An asymptotically complete class of tests
• An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models
• scientific article; zbMATH DE number 3145638 (Why is no real title available?)
• scientific article; zbMATH DE number 3755661 (Why is no real title available?)
• scientific article; zbMATH DE number 3085488 (Why is no real title available?)
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Likelihood ratio and associated test criteria
• Selecting the Best Instrumental Variables Estimator
• Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables
• Some Approximations to the Distribution of Econometric Criteria which are Asymptotically Distributed as Chi-Squared
• Testing a Subset of Coefficients in a Structural Equation
• Testing the mean of a normal population under dependence
• The likelihood ratio criterion and the asymptotic expansion of its distribution

Cited in

(6)

• Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment
• scientific article; zbMATH DE number 4202115 (Why is no real title available?)
• Testing Instrument Admissibility: Some Refined Asymptotic Results
• Testing parameter significance in instrumental variables probit estimators: some simulation
• A New Specification Test for the Validity of Instrumental Variables
• Sensitivity analysis and power in the presence of many weak instruments: application to the effect of incarceration on future earnings

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