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Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 146 (2008) 2, pp. 241-254

Persistent link: https://www.econbiz.de/10003782963

Rank tests for instrumental variables regression with weak instruments

Andrews, Donald W. K. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003468456

Rank tests for instrumental variables regression with weak instruments

Andrews, Donald W. K.; Soares, Gustavo - In: Econometric theory 23 (2007) 6, pp. 1033-1082

Persistent link: https://www.econbiz.de/10003591810

Performance of conditional Wald tests in IV regression with weak instruments

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 139 (2007) 1, pp. 116-132

Persistent link: https://www.econbiz.de/10003516736

Optimal invariant similar tests for instrumental variables regression

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - 2004

Persistent link: https://www.econbiz.de/10002181056

Optimal invariant similar tests for instrumental variables regression

Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - 2004

Persistent link: https://www.econbiz.de/10002188332

Testing when a parameter is on the boundary of the maintained hypothesis

Andrews, Donald W. K. - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 3, pp. 683-734

Persistent link: https://www.econbiz.de/10001580794

A bias-reduced log-periodogram regression estimator for the long-memory parameter

Andrews, Donald W. K.; Guggenberger, Patrik - 2000

Persistent link: https://www.econbiz.de/10001492115

A bias reduced log-periodogram regression estimator for the long-memory parameter

Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 675-712

Persistent link: https://www.econbiz.de/10001750449

On optimal inference in the linear IV model

Andrews, Donald W. K.; Marmer, Vadim; Yu, Zhengfei - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 457-485

This paper considers tests and confidence sets (CSs) concerning the coefficient on the endogenous variable in the linear IV regression model with homoskedastic normal errors and one right-hand side endogenous variable. The paper derives a finite-sample lower bound function for the probability...

Persistent link: https://www.econbiz.de/10012042425