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Invalid proxies and volatility changes
Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024
(ii) the potential failure of instrument exogeneity. We introduce a novel identification strategy that appropriately …
Persistent link: https://www.econbiz.de/10014577214
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Uniformly consistent estimation of linear regression models with strictly exogenous instruments
Escanciano, Juan Carlos - 2016
Persistent link: https://www.econbiz.de/10011449926
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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
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Generic results for establishing the asymptotic size of confidence sets and tests
Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531
Persistent link: https://www.econbiz.de/10012483169
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Invalid proxies and volatility changes
Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024
(ii) the potential failure of instrument exogeneity. We introduce a novel identification strategy that appropriately …
Persistent link: https://www.econbiz.de/10014495778
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Efficient Inference with Time-Varying Identification Strength
Antoine, Bertille; Boldea, Otilia - Department of Economics, Simon Fraser University - 2014
models (e.g. for inflation, interest rates, or exchange rates) are subject to both parameter instability and identification … between them. Changes in identification strength provide an additional source of information that is used to improve …
Persistent link: https://www.econbiz.de/10010818165
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Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models
Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2014
sample quantities are not necessarily asymptotically independent under some identification scenarios. Analogous results for …
Persistent link: https://www.econbiz.de/10011103450
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Identification- and Singularity-Robust Inference for Moment Condition
Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015
This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests … and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment … under strong and semi-strong identification (for all k greater than or equal to p; where k and p are the numbers of moment …
Persistent link: https://www.econbiz.de/10011107241
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Testing Parameters in GMM without Assuming that they are identified
Kleibergen, Frank - 2001
We propose a generalized method of moments (GMM) Lagrange multiplier statistic, i.e. the K statistic, that uses a Jacobian estimator based on the continuous updating estimator that is asymptotically uncorrelated with the sample average of the moments. Its asymptotic (...)
Persistent link: https://www.econbiz.de/10010325007
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Non-asymptotic inference in instrumental variables estimation
Horowitz, Joel L. - 2017
This paper presents a simple non-asymptotic method for carrying out inference in IV models. The method is a non-Studentized version of the Anderson-Rubin test but is motivated and analyzed differently. In contrast to the conventional Anderson-Rubin test, the method proposed here does not require...
Persistent link: https://www.econbiz.de/10011941507