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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012
We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...
Persistent link: https://www.econbiz.de/10011107877
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - School of Economics and Finance, Tasmanian School of … - 2012
We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...
Persistent link: https://www.econbiz.de/10010835571
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Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory
Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2016
Persistent link: https://www.econbiz.de/10011578259
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Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory
Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2016
Persistent link: https://www.econbiz.de/10011592683
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: The econometrics journal 17 (2014) 1, pp. 165-187
Persistent link: https://www.econbiz.de/10010498748
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2012
Persistent link: https://www.econbiz.de/10009624382
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Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions : invariance and finite-sample distributional theory
Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: Journal of econometrics 218 (2020) 2, pp. 390-418
Persistent link: https://www.econbiz.de/10012483007
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Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory
Doko Tchatoka, Firmin - 2017
We study the distribution of Durbin-Wu-Hausman (DWH) and Revankar-Hartley (RH) tests for exogeneity from a finite-sample viewpoint, under the null and alternative hypotheses. We consider linear structural models with possibly non-Gaussian errors, where structural parameters may not be identified...
Persistent link: https://www.econbiz.de/10012966708
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Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
Doko Tchatoka, Firmin - 2014
We provide a generalization of the Anderson-Rubin (AR) procedure for inference on parameters which represent the dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity parameters). We focus on second-order dependence and stress...
Persistent link: https://www.econbiz.de/10013057771