Narrow search
Showing 1 - 10 of 1,864
Cover Image
A robust test for weak instruments with multiple endogenous regressors
Lewis, Daniel J.; Mertens, Karel - 2022
Persistent link: https://www.econbiz.de/10013332595
Cover Image
A robust test for weak instruments with multiple endogenous regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10013277475
Cover Image
A Robust Test for Weak Instruments with Multiple Endogenous Regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10014081811
Cover Image
A Robust Test for Weak Instruments with Multiple Endogenous Regressors
Lewis, Daniel J.; Mertens, Karel - 2022
We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger...
Persistent link: https://www.econbiz.de/10014081836
Cover Image
Instrument strength in IV estimation and inference : a guide to theory and practice
Keane, Michael P.; Neal, Timothy - In: Journal of econometrics 235 (2023) 2, pp. 1625-1653
Persistent link: https://www.econbiz.de/10014471419
Cover Image
Identification‐robust inference for endogeneity parameters in models with an incomplete reduced form
Dufour, Jean-Marie; Nguyen, Vinh - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 337-). 2022
Persistent link: https://www.econbiz.de/10013194682
Cover Image
Efficient size correct subset inference in homoskedastic linear instrumental variables regression
Kleibergen, Frank - In: Journal of econometrics 221 (2021) 1, pp. 78-96
Persistent link: https://www.econbiz.de/10012618800
Cover Image
Inference in moment inequality models that Is robust to spurious precision under model misspeci fication
Andrews, Donald W. K.; Kwon, Soonwoo - 2019 - Revised: July 8, 2019
Persistent link: https://www.econbiz.de/10012053175
Cover Image
Identification‐ and singularity‐robust inference for moment condition models
Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746
This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test … and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment …‐CQLR test is shown to be asymptotically efficient in a GMM sense under strong and semi‐strong identification (for all k ≥ p …
Persistent link: https://www.econbiz.de/10012202897
Cover Image
Misspecified moment inequality models : inference and diagnostics
Andrews, Donald W. K.; Kwon, Soonwoo - In: The review of economic studies : RES 91 (2024) 1, pp. 45-76
Persistent link: https://www.econbiz.de/10014528566