RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS

DOI10.1017/S0266466607070429zbMath1274.62440MaRDI QIDQ2886976

Donald W. K. Andrews, Gustavo L. Soares

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Order statistics; empirical distribution functions (62G30)

Related Items (5)

Exactly distribution-free inference in instrumental variables regression with possibly weak instruments ⋮ Linear model IV estimation when instruments are many or weak ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ Optimal inference for instrumental variables regression with non-Gaussian errors

Cites Work

• Rank estimators for monotonic index models
• Rank estimation of a location parameter in the binary choice model
• Leapfrog estimation of a fixed-effects model with unknown transformation of the dependent variable
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Robust Rank Tests of the Unit Root Hypothesis
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Testing Parameters in GMM Without Assuming that They Are Identified
• A Conditional Likelihood Ratio Test for Structural Models
• Rank Estimation of Transformation Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

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