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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2015
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10011285977
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2013
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10010200387
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Control variables, discrete instruments, and identification of structural functions
Newey, Whitney K.; Stouli, Sami - 2018
Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the...
Persistent link: https://www.econbiz.de/10011901534
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Constrained conditional moment restriction models
Chernozhukov, Victor; Newey, Whitney K.; Santos, Andres - 2015
This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...
Persistent link: https://www.econbiz.de/10011337665
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Constrained conditional moment restriction models
Chernozhukov, Victor; Newey, Whitney K.; Santos, Andres - 2022 - This Draft: April 2022
Shape restrictions have played a central role in economics as both testable implications of theory and sufficient conditions for obtaining informative counterfactual predictions. In this paper we provide a general procedure for inference under shape restrictions in identified and partially...
Persistent link: https://www.econbiz.de/10013332218
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High-dimensional econometrics and regularized GMM
Belloni, Alexandre; Chernozhukov, Victor; Chetverikov, Denis - 2018
This chapter presents key concepts and theoretical results for analyzing estimation and inference in high-dimensional models. High-dimensional models are characterized by having a number of unknown parameters that is not vanishingly small relative to the sample size. We first present results in...
Persistent link: https://www.econbiz.de/10011865610
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Finite sample bias corrected IV estimation for weak and many instruments
Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015
This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...
Persistent link: https://www.econbiz.de/10011300710
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Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions
Fu, Jia-Young Michael; Horowitz, Joel; Parey, Matthias - 2015
This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with...
Persistent link: https://www.econbiz.de/10011350133
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Identification and estimation in a correlated random coefficients binary response model
Hoderlein, Stefan; Sherman, Robert - 2012
We study identification and estimation in a binary response model with random coefficients B allowed to be correlated …
Persistent link: https://www.econbiz.de/10009728916
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Instrumental variables estimation of a generalized correlated random coefficients model
Masten, Matthew; Torgovitsky, Alexander - 2014
We study identification and estimation of the average treatment effect in a correlated random coefficients model that … interactions between endogenous variables and covariates. Our identification approach is based on averaging the coefficients … identification strategy suggests a transparent and computationally straightforward estimator of a trimmed average treatment effect …
Persistent link: https://www.econbiz.de/10010227690