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Finite-sample instrumental variables inference using an asymptotically pivotal statistic

Bekker, Paul A.; Kleibergen, Frank - 2001

The paper considers the K-statistic, Kleibergen’s (2000) adaptation ofthe Anderson-Rubin (AR) statistic in instrumental variables regression.Compared to the AR-statistic this K-statistic shows improvedasymptotic efficiency in terms of degrees of freedom in overidentifiedmodels and yet it...

Persistent link: https://www.econbiz.de/10011316861

Finite-sample instrumental variables inference using an asymptotically pivotal statistic

Bekker, Paul A.; Kleibergen, Frank - 2001

Persistent link: https://www.econbiz.de/10001619184

Finite-sample instrumental variables inference using an asymptotically pivotal statistic

Bekker, Paul A.; Kleibergen, Frank - In: Econometric theory 19 (2003) 5, pp. 744-753

Persistent link: https://www.econbiz.de/10001802801

Finite-sample instrumental variables inference using an asymptotically pivotal statistic

Bekker, Paul A.; Kleibergen, Frank - 2001

Persistent link: https://www.econbiz.de/10001585046

Exact inference for the linear model with groupwise heteroscedastic spherical disturbances

Bekker, Paul A. - In: Journal of econometrics 111 (2002) 2, pp. 285-302

Persistent link: https://www.econbiz.de/10001715749

Assumption-equivalent inference in an instrumental variable setting

Bekker, Paul A. - 1998

Persistent link: https://www.econbiz.de/10001567626

Equality restricted random variables : densities and sampling algorithms

Kleibergen, Frank - 1997

Persistent link: https://www.econbiz.de/10000953441

Testing parameters in GMM without assuming that they are identified

Kleibergen, Frank - 2001

Persistent link: https://www.econbiz.de/10011317461

Two independent pivotal statistics that test location and misspecification and add up to the Anderson-Rubin statistic

Kleibergen, Frank - 2002

We show that the Anderson-Rubin (AR) statistic is the sum of two independent piv-otal statistics. One statistic is a score statistic that tests location and the other statistictests misspecification. The chi-squared distribution of the location statistic has a degreesof freedom parameter that is...

Persistent link: https://www.econbiz.de/10011326948

Testing parameters in GMM without assuming that they are identified

Kleibergen, Frank - 2001

Persistent link: https://www.econbiz.de/10001594646