A more powerful subvector Anderson Rubin test in linear instrumental variables regression
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DOI: 10.3982/QE1116
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Cited by:
- Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021.
"A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity,"
Papers
2103.11371, arXiv.org, revised Oct 2022.
- Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
- Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
- Wang, Wenjie, 2021. "Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters," MPRA Paper 106227, University Library of Munich, Germany.
- Kiviet, Jan F., 2023. "Instrument-free inference under confined regressor endogeneity and mild regularity," Econometrics and Statistics, Elsevier, vol. 25(C), pages 1-22.
- Wang, Wenjie, 2020.
"On the inconsistency of nonparametric bootstraps for the subvector Anderson–Rubin test,"
Economics Letters, Elsevier, vol. 191(C).
- Wang, Wenjie, 2020. "On the Inconsistency of Nonparametric Bootstraps for the Subvector Anderson-Rubin Test," MPRA Paper 99109, University Library of Munich, Germany.
- Eric Gautier & Christiern Rose, 2022. "Fast, Robust Inference for Linear Instrumental Variables Models using Self-Normalized Moments," Papers 2211.02249, arXiv.org, revised Nov 2022.
- Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
- Kiviet, Jan, 2019.
"Instrument-free inference under confined regressor endogeneity; derivations and applications,"
MPRA Paper
96839, University Library of Munich, Germany.
- Jan F. Kiviet, 2020. "Instrument-free inference under confined regressor endogeneity; derivations and applications," Working Papers 09/2020, Stellenbosch University, Department of Economics.
- Windmeijer, Frank, 2024. "Testing underidentification in linear models, with applications to dynamic panel and asset pricing models," Journal of Econometrics, Elsevier, vol. 240(2).
- Peter C. B. Phillips, 2022. "An Econometrician amongst Statisticians: T. W. Anderson," Cowles Foundation Discussion Papers 2333, Cowles Foundation for Research in Economics, Yale University.
- Horowitz, Joel L., 2021. "Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models," Journal of Econometrics, Elsevier, vol. 222(2), pages 1057-1082.
- Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models,"
Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
- Maurice J. G. Bun & Frank Kleibergen, 2021. "Identification robust inference for moments based analysis of linear dynamic panel data models," Papers 2105.08346, arXiv.org.
- Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
- Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020.
"Generic results for establishing the asymptotic size of confidence sets and tests,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
- Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
- Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles, 2023.
"A test for Kronecker Product Structure covariance matrix,"
Journal of Econometrics, Elsevier, vol. 233(1), pages 88-112.
- Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020. "A Test for Kronecker Product Structure Covariance Matrix," Papers 2010.10961, arXiv.org, revised Jan 2022.
- Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2022. "A Test for Kronecker Product Structure Covariance Matrix," Economics Series Working Papers 962, University of Oxford, Department of Economics.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022.
"Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models,"
Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020. "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive 20-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
- Malte Londschien & Peter Buhlmann, 2024. "Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets," Papers 2407.15256, arXiv.org, revised Nov 2024.
- Kees Jan van Garderen & Noud van Giersbergen, 2020. "A Nearly Similar Powerful Test for Mediation," Papers 2012.11342, arXiv.org, revised Jan 2022.
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