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Tests based on t-statistics for IV regression with weak instruments
Mills, Benjamin; Moreira, Marcelo J.; Vilela, Lucas P. - In: Journal of Econometrics 182 (2014) 2, pp. 351-363
This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly...
Persistent link: https://www.econbiz.de/10011052301
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Tests with correct size when instruments can be arbitrarily weak
Moreira, Marcelo J. - In: Journal of econometrics 152 (2009) 2, pp. 131-140
Persistent link: https://www.econbiz.de/10003892731
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Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 146 (2008) 2, pp. 241-254
Persistent link: https://www.econbiz.de/10003782963
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Optimal inference in regression models with nearly integrated regressors
Jansson, Michael; Moreira, Marcelo J. - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 3, pp. 681-714
Persistent link: https://www.econbiz.de/10003329579
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Optimal two-sided invariant similar tests for instrumental variables regression
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 3, pp. 715-752
Persistent link: https://www.econbiz.de/10003329584
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Bootstrap validity for the score test when instruments may be weak
Moreira, Marcelo J.; Porter, Jack; Suárez, Gustavo A. - In: Journal of econometrics 149 (2009) 1, pp. 52-64
Persistent link: https://www.econbiz.de/10003833727
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Decision theory applied to linear panel data model
Chamberlain, Gary; Moreira, Marcelo J. - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10003866981
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Tests with correct size in the simultaneous equations model
Moreira, Marcelo J. - 2002
Persistent link: https://www.econbiz.de/10003380926
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Performance of conditional Wald tests in IV regression with weak instruments
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 139 (2007) 1, pp. 116-132
Persistent link: https://www.econbiz.de/10003516736
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Contributions to the theory of optimal tests
Moreira, Humberto; Moreira, Marcelo J. - 2013
Persistent link: https://www.econbiz.de/10011456369