Instrument strength in IV estimation and inference: a guide to theory and practice

DOI10.1016/j.jeconom.2022.12.009OpenAlexW4320034937MaRDI QIDQ6108320

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Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.12.009

zbMATH Keywords

endogeneitylikelihood ratio testF-testGMMinstrumental variablesweak instrumentsLIMLsize distortion2SLSAnderson-Rubin testJIVEFuller

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Performance of conditional Wald tests in IV regression with weak instruments
• Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
• Tests based on \(t\)-statistics for IV regression with weak instruments
• Tests with correct size when instruments can be arbitrarily weak
• The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference

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