A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION

DOI10.1017/S0266466609990806zbMath1401.62088OpenAlexW2131311927MaRDI QIDQ2995423

Saraswata Chaudhuri, Thomas S. Richardson, Eric Zivot, James M. Robins

Publication date: 21 April 2011

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

Full work available at URL: https://doi.org/10.1017/s0266466609990806

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Projection-based inference with particle swarm optimization ⋮ A new method of projection-based inference in GMM with weakly identified nuisance parameters ⋮ Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves

Cites Work

• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
• Optimal Structural Nested Models for Optimal Sequential Decisions
• Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

This page was built for publication: A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION