Search Results - subject:"weak instruments"

Specification tests with weak and invalid instruments

Doko Tchatoka, Firmin - School of Economics and Finance, Tasmanian School of … - 2012

We investigate the size of the Durbin-Wu-Hausman tests for exogeneity when instrumental variables violate the strict exogeneity assumption. We show that these tests are severely size distorted even for a small correlation between the structural error and instruments. We then propose a bootstrap...

Persistent link: https://www.econbiz.de/10010597135

Bootstrap Confidence Sets with Weak Instruments

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2012

variable in a linear equation with weak instruments. Two of these are based on conditional likelihood ratio (CLR) tests, and …

Persistent link: https://www.econbiz.de/10009320849

Identification and inference in a simultaneous equation under alternative information sets and sampling schemes

Kiviet, J. F. - 2012

Persistent link: https://www.econbiz.de/10010190991

On bootstrap validity for specification testing with many weak instruments

Melou, Maximilien Kaffo; Wang, Wenjie - In: Economics letters 157 (2017), pp. 107-111

Persistent link: https://www.econbiz.de/10011847324

LIML in the static linear panel data model

Wansbeek, Tom; Prak, Dennis - In: Econometric reviews 36 (2017) 1/3, pp. 385-395

Persistent link: https://www.econbiz.de/10011795223

Unbiased instrumental variables estimation under known first-stage sign

Andrews, Isaiah; Armstrong, Timothy B. - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 479-503

Persistent link: https://www.econbiz.de/10011804852

Linear model IV estimation when instruments are many or weak

Murray, Michael P. - In: Journal of econometric methods 6 (2017) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011944854

The trade-off between inflation and economic activity in Brazil

Maka, Alexis; Barbosa, Fernando de Holanda - 2017

APC are not rejected. However, when we construct confidence regions that are robust to weak instruments, it is not …

Persistent link: https://www.econbiz.de/10012061223

Inflation expectations and the Phillips curve : an encompassing framework

Maka, Alexis; Barbosa, Fernando de Holanda - 2017

rejected. When we use methods that are robust to the issue of weak instruments in GMM, the confidence regions are so wide that …

Persistent link: https://www.econbiz.de/10012061245

A combined estimator of regression models with measurement errors

Huang, Bai; Lee, Tae-hwy; Ullah, Aman - In: Indian economic review : official journal of Delhi … 52 (2017) 1/2, pp. 73-91

Persistent link: https://www.econbiz.de/10012225803