Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics

DOI10.1016/j.jeconom.2006.06.010zbMath1418.62490OpenAlexW2113590771MaRDI QIDQ280239

Frank Kleibergen

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.2006.06.010

zbMATH Keywords

likelihood ratio statisticsGMMrank reductionscore or Lagrange multiplier statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Related Items (12)

A semi-parametric Bayesian approach to the instrumental variable problem ⋮ Tests of risk premia in linear factor models ⋮ EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL ⋮ Linear model IV estimation when instruments are many or weak ⋮ Two robust tools for inference about causal effects with invalid instruments ⋮ Phoebus J. Dhrymes (1932–2016) ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ 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 ⋮ Bootstrap inference in a linear equation estimated by instrumental variables ⋮ ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION

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