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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/10010325038
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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
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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/10001585046
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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
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Assumption-equivalent inference in an instrumental variable setting
Bekker, Paul A. - 1998
Persistent link: https://www.econbiz.de/10001567626
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A mean-variance frontier in discrete and continuous time
Bekker, Paul A. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002597853
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The influence of exogenous variables on long run parameters : an application to price level and import demand models
Kleibergen, Frank - 1995
Persistent link: https://www.econbiz.de/10000912281
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Equality restricted random variables : densities and sampling algorithms
Kleibergen, Frank - 1997
Persistent link: https://www.econbiz.de/10000953441
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Pivotal statistics for testing structural parameters in instrumental variables regression
Kleibergen, Frank - 2000
We propose a novel statistic for testing the structural parameters in Instrumental Variables Regression. The statistic is straightforward to compute and has a limiting distribution that is pivotal with a degrees of freedom parameter that is equal to the number of tested parameters. It therefore...
Persistent link: https://www.econbiz.de/10011303876