Performance of conditional Wald tests in IV regression with weak instruments

DOI10.1016/j.jeconom.2006.06.007zbMath1418.62408OpenAlexW1996322063MaRDI QIDQ280234

Marcelo J. Moreira, Donald W. K. Andrews, James H. Stock

Publication date: 9 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.06.007

zbMATH Keywords

instrumental variables regressionpower envelopeconditional likelihood ratio testweak identification\(k\)-class estimators

Mathematics Subject Classification ID

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

Related Items (13)

Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments ⋮ Bootstrap Confidence Sets with Weak Instruments ⋮ Do better schools lead to more growth? Cognitive skills, economic outcomes, and causation ⋮ Instrument strength in IV estimation and inference: a guide to theory and practice ⋮ On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference ⋮ Statistical inference in dynamic panel data models ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors ⋮ Tests based on \(t\)-statistics for IV regression with weak instruments ⋮ Robust confidence sets in the presence of weak instruments ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION ⋮ The asymptotic distribution of Nagar's bias-adjusted TSLS estimator under partial identifica\-tion

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• Some Properties of a Modification of the Limited Information Estimator
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• Choosing the Number of Instruments
• A Conditional Likelihood Ratio Test for Structural Models
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