Confidence sets based on inverting Anderson–Rubin tests
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Publication:5093230
DOI10.1111/ectj.12015OpenAlexW2160064003MaRDI QIDQ5093230
James G. MacKinnon, Russell Davidson
Publication date: 26 July 2022
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/ectj.12015
simultaneous equationsweak instrumentsconfidence set\(F\)-testlimited information maximum likelihoodSargan testoveridentifying restrictionsAR test
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