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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2015
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10011285977
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - In: Journal of econometrics 190 (2016) 2, pp. 212-221
Persistent link: https://www.econbiz.de/10011592173
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A weak instrument F-test in linear IV models with multiple endogenous variables
Sanderson, Eleanor; Windmeijer, Frank - 2013
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10010368229
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A Weak Instrument F-Test in Linear IV Models with Multiple Endogenous Variables
Sanderson, Eleanor; Windmeijer, Frank - School of Economics, Finance and Management, University … - 2014
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank...
Persistent link: https://www.econbiz.de/10011010138
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GMM Estimation with Noncausal Instruments Under Rational Expectations
Lof, Matthijs - 2011
There is hope for the generalized method of moments (GMM). Lanne and Saikkonen (2011) show that the GMM estimator is inconsistent, when the instruments are lags of noncausal variables. This paper argues that this inconsistency depends on distributional assumptions, that do not always hold. In...
Persistent link: https://www.econbiz.de/10013117256
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A New Method for Uniform Subset Inference of Linear Instrumental Variables Models
Zhu, Yinchu - 2015
We propose a procedure for testing simple hypotheses on a subset of the structural parameters in linear instrumental variables models. Our test is valid uniformly over a large class of distributions allowing for identification failure and heteroskedasticity. The large-sample distribution of our...
Persistent link: https://www.econbiz.de/10013020836
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Select the Valid and Relevant Moments : An Information-Based LASSO for GMM with Many Moments
Cheng, Xu - 2013
This paper studies the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis accommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...
Persistent link: https://www.econbiz.de/10013074163
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A Doubly Corrected Robust Variance Estimator for Linear GMM
Hwang, Jungbin - 2019
We propose a new finite sample corrected variance estimator for the linear generalized method of moments (GMM) including the one-step, two-step, and iterated estimators. Our formula additionally corrects for the over-identification bias in variance estimation on top of the commonly used finite...
Persistent link: https://www.econbiz.de/10012863983
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Inference for Iterated GMM Under Misspecification and Clustering
Hansen, Bruce E.; Lee, Seojeong - 2019
This paper develops a new distribution theory and inference methods for over-identified Generalized Method of Moments … with heterogeneous and growing cluster sizes. This paper is the first to provide a rigorous theory for the iterated GMM … asymptotic theory allows the moments to be possibly misspecified, which is a general feature of approximate over …
Persistent link: https://www.econbiz.de/10014033687
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Outlier Robust Inference in the Instrumental Variable Model With Applications to Causal Effects
Klooster, Jens; Zhelonkin, Mikhail - 2021
The instrumental variable model is one of the central tools for the analysis of causal relationships in observational data. The Anderson and Rubin (1949) test is an important method that allows for reliable inference in the instrumental variable model when the instruments are weak. Yet, the...
Persistent link: https://www.econbiz.de/10013210938