[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/tin/wpaper/20000088.html
   My bibliography  Save this paper

Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model

Author

Listed:
  • Frank R. Kleibergen

    (University of Amsterdam)

Abstract
We construct a novel statistic to test hypothezes on subsets of the structural parameters in anInstrumental Variables (IV) regression model. We derive the chi squared limiting distribution of thestatistic and show that it has a degrees of freedom parameter that is equal to the number ofstructural parameters on which the hypothesis is specified. The statistic has this limitingdistribution regardless of the quality of the instruments for the endogenous variables associatedwith these structural parameters. The instruments have to be valid for the endogenous variablesassociated with the remaining structural parameters. We analyze the relationship of the novelstatistic with the Lagrange Multiplier, the Likelihood Ratio and the GMM over-identification statisticfrom Stock and Wright (2000). Chi squared limiting distributions for the first two statistics onlyhold when the instruments are valid for all endogenous variables. A chi squared limitingdistribution for the GMM over-identification statistic is obtained under the same conditions as forour novel statistic but has a larger degrees of freedom parameter. For some artificial datasets, wecompute power curves and p-value plots that result from the different statistics. We apply thestatistic to an IV regression of education on earnings from Card (1995).

Suggested Citation

  • Frank R. Kleibergen, 2000. "Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model," Tinbergen Institute Discussion Papers 00-088/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20000088
    as

    Download full text from publisher

    File URL: https://papers.tinbergen.nl/00088.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics 9905001, University Library of Munich, Germany.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tin:wpaper:20000088. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tinbergen Office +31 (0)10-4088900 (email available below). General contact details of provider: https://edirc.repec.org/data/tinbenl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.