Robust confidence sets in the presence of weak instruments

DOI10.1016/j.jeconom.2009.12.003zbMath1400.62330OpenAlexW2048320601MaRDI QIDQ736516

Anna Mikusheva

Publication date: 4 August 2016

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

Full work available at URL: http://hdl.handle.net/1721.1/61662

zbMATH Keywords

uniform asymptoticsweak instrumentsconfidence set

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (17)

Using multiple genetic variants as instrumental variables for modifiable risk factors ⋮ Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments ⋮ SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ Bootstrap Confidence Sets with Weak Instruments ⋮ Linear model IV estimation when instruments are many or weak ⋮ Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation ⋮ Two robust tools for inference about causal effects with invalid instruments ⋮ Causal Spillover Effects Using Instrumental Variables ⋮ Phoebus J. Dhrymes (1932–2016) ⋮ ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ A new method of projection-based inference in GMM with weakly identified nuisance parameters ⋮ Specification tests for partially identified models defined by moment inequalities

Uses Software

• Stata
• condivreg

Cites Work

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• Length of Confidence Intervals
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• On the Normalization of Structural Equations: Properties of Direction Estimators
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• 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
• On the Relation Among Shortest Confidence Intervals of Different Types
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Convergence of stochastic processes

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