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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 - 2001

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

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

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