A more powerful subvector Anderson Rubin test in linear instrumental variables regression

DOI10.3982/QE1116zbMath1434.62161OpenAlexW2943405780WikidataQ127924475 ScholiaQ127924475MaRDI QIDQ5208564

Sophocles Mavroeidis, Patrik Guggenberger, Frank Kleibergen

Publication date: 8 January 2020

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe1116

zbMATH Keywords

weak instrumentsasymptotic sizesubvector inferencelinear IV regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Generalized linear models (logistic models) (62J12)

Related Items (10)

IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ A test for Kronecker product structure covariance matrix ⋮ Detecting identification failure in moment condition models ⋮ Testing underidentification in linear models, with applications to dynamic panel and asset pricing models ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS ⋮ On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test

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