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Some Properties of Tests for Possibly Unidentified Parameters

Forchini, G. - Department of Econometrics and Business Statistics, … - 2005

It is well known that confidence intervals for weakly identified parameters are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Staiger and Stock, Econometrica 65, pp. 557-586), and that the asymptotic risk of their estimators is unbounded (Pötscher,...

Persistent link: https://www.econbiz.de/10005087614

Small Concentration Asymptotics and Instrumental Variables Inference

Poskitt, D.S.; Skeels, C.L. - Department of Economics, Faculty of Business and Economics - 2005

Poskitt and Skeels (2005) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. We present approximations to the sampling...

Persistent link: https://www.econbiz.de/10005587627

Rank Tests for Instrumental Variables Regression with Weak Instruments

Andrews, Donald W.K.; Soares, Gustavo - Cowles Foundation for Research in Economics, Yale University - 2006

This paper considers tests in an instrumental variables (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006a). In this paper, we seek...

Persistent link: https://www.econbiz.de/10005593166

Optimal Invariant Similar Tests for Instrumental Variables Regression

Andrews, Donald W.K.; Moreira, Marcelo J.; Stock, James H. - Cowles Foundation for Research in Economics, Yale University - 2004

This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have some optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...

Persistent link: https://www.econbiz.de/10005593255

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

The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations

Kiviet, Jan F.; Niemczyk, Jerzy - 2006

In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...

Persistent link: https://www.econbiz.de/10010325635

A comparison of some bayesian and classical procedures for simultaneous equation models with weak instruments

Gao, Chuanming; Lahiri, Kajal - In: Econometrics 7 (2019) 3, pp. 1-28

LIML, and the jackknife instrumental variable estimator (JIVE) due to Angrist et al. and Blomquist and Dahlberg are also … Phillips, Geweke, Kleibergen and van Dijk, and Zellner. Amongst the sampling theory methods, OLS, 2SLS, LIML, Fuller's modified … van Dijk approach seems to work very well. Surprisingly, the performance of JIVE was disappointing in all our experiments. …

Persistent link: https://www.econbiz.de/10012696248

The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations

Kiviet, J. F.; Niemczyk, Jerzy - 2006

Persistent link: https://www.econbiz.de/10011349723

On the finite-sample properties of conditional empirical likelihood estimators

Crudu, Federico; Sándor, Zsolt - Volkswirtschaftliche Fakultät, … - 2011

We provide Monte Carlo evidence on the finite sample behavior of the conditional empirical likelihood (CEL) estimator of Kitamura, Tripathi, and Ahn (2004) and the conditional Euclidean empirical likelihood (CEEL) estimator of Antoine, Bonnal, and Renault (2007) in the context of a...

Persistent link: https://www.econbiz.de/10009325579

On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous

KIVIET, Jan F.; NIEMCZYK, Jerzy - Division of Economics, Nanyang Technological University - 2013

IV estimation is examined when some instruments may be invalid. This is relevant because the initial just-identifying orthogonality conditions are untestable, whereas their validity is required when testing the orthogonality of additional instruments by so-called over-identi?cation restriction...

Persistent link: https://www.econbiz.de/10010732404