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The Case Against JIVE
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2004
Instrumental Variables Estimator," or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest … to LIML in all respects. Interestingly, JIVE seems to perform particularly badly when the instruments are weak. … that JIVE should ever be used. It is always more dispersed than 2SLS, often very much so, and it is almost always inferior …
Persistent link: https://www.econbiz.de/10005787665
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Wild Bootstrap Tests for IV Regression
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2008
We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of...
Persistent link: https://www.econbiz.de/10005688408
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Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2006
We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that all the test statistics--Student's t, Anderson-Rubin, Kleibergen's K, and likelihood ratio (LR)--can be written as functions of six...
Persistent link: https://www.econbiz.de/10005787714
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2014
instrumental variables (IV) and limited-information maximum likelihood (LIML). Under the assumption of Gaussian disturbances, we …
Persistent link: https://www.econbiz.de/10010757310
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Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2008
We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics -- Student's t, Anderson-Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio...
Persistent link: https://www.econbiz.de/10005688347
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Specification Tests with Weak and Invalid Instruments
Tchatoka, Doko; Sabro, Firmin - Volkswirtschaftliche Fakultät, … - 2012
We investigate the size of the Durbin-Wu-Hausman tests for exogeneity when instrumental variables violate the strict exogeneity assumption. We show that these tests are severely size distorted even for a small correlation between the structural error and instruments. We then propose a bootstrap...
Persistent link: https://www.econbiz.de/10011108377
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Implementing Weak Instrument Robust Tests for a General Class of Instrumental Variables Models
Finlay, Keith; Magnusson, Leandro M. - Department of Economics, Tulane University - 2009
We present a minimum distance approach for conducting hypothesis testing in the presence of potentially weak instruments. Under this approach, we propose size correct tests for limited dependent variable models with endogenous explanatory variables such as endogenous Tobit and probit models....
Persistent link: https://www.econbiz.de/10005012452
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Jackknife instrumental variables estimation in Stata
Poi, Brian P. - In: Stata Journal 6 (2006) 3, pp. 364-376
information maximum likelihood (LIML) show that two of the four vari- ants perform remarkably well even when 2SLS does not. In a … weak-instrument experiment, the two best performing jackknife estimators also outperform LIML. Copyright 2006 by StataCorp …
Persistent link: https://www.econbiz.de/10005748373
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Enhanced routines for instrumental variables/GMM estimation and testing
Baum, Christopher; Schaffer, Mark; Stillman, Steven - Centre for Economic Reform and Transformation, School … - 2007
that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and …
Persistent link: https://www.econbiz.de/10005292582
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Confidence Sets Based on Inverting Anderson-Rubin Tests
Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2011
Economists are often interested in the coefficient of a single endogenous explanatory variable in a linear simultaneous equations model. One way to obtain a confidence set for this coefficient is to invert the Anderson-Rubin test. The "AR confidence sets" that result have correct coverage under...
Persistent link: https://www.econbiz.de/10008776049