Exactly distribution-free inference in instrumental variables regression with possibly weak instruments

DOI10.1016/j.jeconom.2007.05.012zbMath1418.62266OpenAlexW3125213189MaRDI QIDQ290947

Vadim Marmer, Donald W. K. Andrews

Publication date: 3 June 2016

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d15/d1501.pdf

zbMATH Keywords

weak instrumentsrank testaligned ranksAnderson-Rubin statisticexact size

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05)

Related Items (6)

Generalized empirical likelihood tests in time series models with potential identification failure ⋮ Some properties of tests for parameters that can be arbitrarily close to being unidentified ⋮ Testing the adequacy of conventional asymptotics in GMM ⋮ GEL statistics under weak identification ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ Optimal inference for instrumental variables regression with non-Gaussian errors

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