Optimal inference for instrumental variables regression with non-Gaussian errors

DOI10.1016/j.jeconom.2011.04.004zbMath1441.62629OpenAlexW3124786817MaRDI QIDQ738130

Matias D. Cattaneo, Michael Jansson, Richard K. Crump

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.04.004

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (7)

Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION ⋮ Minimum distance approach to inference with many instruments ⋮ Tests based on \(t\)-statistics for IV regression with weak instruments ⋮ Applications of subsampling, hybrid, and size-correction methods ⋮ Robust estimation with many instruments ⋮ Location Properties of Point Estimators in Linear Instrumental Variables and Related Models

Cites Work

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• Two Stage Least Absolute Deviations Estimators
• Some Properties of a Modification of the Limited Information Estimator
• Asymptotic Statistics
• Instrumental Variables Regression with Weak Instruments
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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