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Pivotal statistics for testing subsets of structural parameters in the IV regression model

Kleibergen, Frank - 2000

We construct a novel statistic to test hypothezes on subsets of the structural parameters in anInstrumental Variables (IV) regression model. We derive the chi squared limiting distribution of thestatistic and show that it has a degrees of freedom parameter that is equal to the number...

Persistent link: https://www.econbiz.de/10011304400

Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox

Kleibergen, Frank - In: Journal of econometrics 123 (2004) 2, pp. 227-258

Persistent link: https://www.econbiz.de/10002361706

How to overcome the Jeffreys-Lindleys paradox for invariant Bayesian inference in regression models

Kleibergen, Frank - 2001

Persistent link: https://www.econbiz.de/10001601277

Reduced rank regression using GMM

Kleibergen, Frank - In: Generalized method of moments estimation, (pp. 171-210). 1999

Persistent link: https://www.econbiz.de/10001437707

Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data

Hoogerheide, Lennart; Kleibergen, Frank; Dijk, Herman K. van - In: Journal of econometrics 138 (2007) 1, pp. 63-103

Persistent link: https://www.econbiz.de/10003451742

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