Instrument endogeneity and identification-robust tests: some analytical results

DOI10.1016/J.JSPI.2008.03.006zbMath1144.62015OpenAlexW2147349146MaRDI QIDQ928899

Jean-Marie Dufour, Firmin Doko

Publication date: 11 June 2008

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/29613/1/MPRA_paper_29613.pdf

zbMATH Keywords

simultaneous equationsinstrumental variablesinvalid instrumentslocally exogenous instrumentslocally weak instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

SUBSET HYPOTHESES TESTING AND INSTRUMENT EXCLUSION IN THE LINEAR IV REGRESSION ⋮ On the precision of Calvo parameter estimates in structural NKPC models ⋮ A robust test of exogeneity based on quantile regressions ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Near exogeneity and weak identification in generalized empirical likelihood estimators: many moment asymptotics ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results

Cites Work

• Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
• The Estimation of Economic Relationships using Instrumental Variables
• Sensitivity Analysis for Instrumental Variables Regression With Overidentifying Restrictions
• A Comment on the Test of Overidentifying Restrictions
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• A Consistent Method for the Selection of Relevant Instruments
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments
• Choosing the Number of Instruments
• Judging Instrument Relevance in Instrumental Variables Estimation
• Consistent Estimation with a Large Number of Weak Instruments
• 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
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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