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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10011107877
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Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models
TCHATOKA, Firmin DOKO; DUFOUR, Jean-Marie - Centre Interuniversitaire de Recherche en Économie … - 2014
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-square methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10010894992
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - School of Economics and Finance, Tasmanian School of … - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10010835571
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - In: The econometrics journal 17 (2014) 1, pp. 165-187
Persistent link: https://www.econbiz.de/10010498748
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Testing exogeneity under distributional misspecification
de Luna, Xavier; Johansson, Per - Institutet för Arbetsmarknads- och Utbildningspolitisk … - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10005207254
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Testing exogeneity under distributional misspecification
de Luna, Xavier; Johansson, Per - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10010321023
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Testing exogeneity under distributional misspecification
DeLuna, Xavier; Johansson, Per-Olov - 2001
We propose a general test for exogeneity that is robust against distributional misspecification. The test can also be used to identify other types of misspecifications, such as the presence of a random coefficient. The idea is to sort the data with respect to a variable (a sorting score) and...
Persistent link: https://www.econbiz.de/10011571651
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10015233358
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square...
Persistent link: https://www.econbiz.de/10015237364
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square...
Persistent link: https://www.econbiz.de/10015237400