Testing with many weak instruments

DOI10.1016/j.jeconom.2006.05.012zbMath1418.62409OpenAlexW1996762148MaRDI QIDQ277151

James H. Stock, Donald W. K. Andrews

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.012

zbMATH Keywords

instrumental variablesweak instrumentsconditional likelihood ratio testAnderson-Rubin testLagrange multiplier testmany instrumental variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items

SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS ⋮ Identification in a generalization of bivariate probit models with dummy endogenous regressors ⋮ Linear model IV estimation when instruments are many or weak ⋮ A conditional linear combination test with many weak instruments ⋮ Robust inference in nonlinear models with mixed identification strength ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Hypothesis testing in linear regression when \(k/n\) is large ⋮ Hahn-Hausman test as a specification test ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Finite sample properties of the GMM Anderson–Rubin test ⋮ Jackknife instrumental variable estimation with heteroskedasticity ⋮ Moment and IV Selection Approaches: A Comparative Simulation Study

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