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Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
Moreira, Humberto; Moreira, Marcelo J. - In: Journal of econometrics 213 (2019) 2, pp. 398-433
Persistent link: https://www.econbiz.de/10012304565
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Tests based on t-statistics for IV regression with weak instruments
Mills, Benjamin; Moreira, Marcelo J.; Vilela, Lucas P. - In: Journal of Econometrics 182 (2014) 2, pp. 351-363
This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly...
Persistent link: https://www.econbiz.de/10011052301
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Instrumental variable and variable addition based inference in predictive regressions
Breitung, Jörg; Demetrescu, Matei - In: Journal of econometrics 187 (2015) 1, pp. 358-375
Persistent link: https://www.econbiz.de/10011499478
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Identification‐robust inference for endogeneity parameters in models with an incomplete reduced form
Dufour, Jean-Marie; Nguyen, Vinh - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 337-). 2022
Persistent link: https://www.econbiz.de/10013194682
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A cross-sectional asset pricing test with more power : an instrumental variable approach
Hur, Jungshik - 2024
Persistent link: https://www.econbiz.de/10015050153
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Efficient size correct subset inference in homoskedastic linear instrumental variables regression
Kleibergen, Frank - In: Journal of econometrics 221 (2021) 1, pp. 78-96
Persistent link: https://www.econbiz.de/10012618800
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Confidence intervals for bias and size distortion in IV and local projections-IV models
Ganics, Gergely; Inoue, Atsushi; Rossi, Barbara - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 307-324
Persistent link: https://www.econbiz.de/10012424523
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Instrument strength in IV estimation and inference : a guide to theory and practice
Keane, Michael P.; Neal, Timothy - In: Journal of econometrics 235 (2023) 2, pp. 1625-1653
Persistent link: https://www.econbiz.de/10014471419
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Location properties of point estimators in linear instrumental variables and related models
Hirano, Keisuke; Porter, Jack - In: Econometric reviews 34 (2015) 6/10, pp. 720-733
Persistent link: https://www.econbiz.de/10011483374
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A simple and robust estimator for linear regression models with strictly exogenous instruments
Escanciano, Juan Carlos - In: The econometrics journal 21 (2018) 1, pp. 36-54
Persistent link: https://www.econbiz.de/10012166594