SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS

DOI10.1017/S0266466610000307zbMath1215.62016MaRDI QIDQ3168876

Stanislav Anatolyev, Nikolay Gospodinov

Publication date: 27 April 2011

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

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Asymptotic properties of parametric tests (62F05)

Related Items (10)

ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS ⋮ A conditional linear combination test with many weak instruments ⋮ Testing many restrictions under heteroskedasticity ⋮ Minimum distance approach to inference with many instruments ⋮ On bootstrap validity for specification testing with many weak instruments ⋮ Testing overidentifying restrictions with many instruments and heteroskedasticity ⋮ Bootstrap inference for instrumental variable models with many weak instruments ⋮ Hahn-Hausman test as a specification test ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ Finite sample properties of the GMM Anderson–Rubin test

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Testing with many weak instruments
• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• Empirical likelihood estimation and consistent tests with conditional moment restrictions
• GMM inference when the number of moment conditions in large
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Consistent Estimation with a Large Number of Weak Instruments
• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• Asymptotic Formulas for Significance Levels of Certain Distributions
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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