Search Results - subject:"weak instruments"

Estimation of a local-aggregate network model with sampled networks

Liu, Xiaodong - In: Economics Letters 118 (2013) 1, pp. 243-246

This work considers the estimation of a network model with sampled networks. Chandrasekhar and Lewis (2011) show that the estimation with sampled networks could be biased due to measurement error induced by sampling and propose a bias correction by restricting the estimation to sampled nodes to...

Persistent link: https://www.econbiz.de/10010603146

Estimating the elasticity of intertemporal substitution : is the aggregate financial return free from the weak instrument problem?

Gomes, Fábio A.; Paz, Lourenço Senne - In: Journal of macroeconomics 36 (2013), pp. 63-75

Persistent link: https://www.econbiz.de/10009751142

Exactly Distribution-free Inference in Instrumental Variables Regression with Possibly Weak Instruments

Andrews, Donald W.K.; Marmer, Vadim - Cowles Foundation for Research in Economics, Yale University - 2005

This paper introduces a rank-based test for the instrumental variables regression model that dominates the Anderson-Rubin test in terms of finite sample size and asymptotic power in certain circumstances. The test has correct size for any distribution of the errors with weak or strong...

Persistent link: https://www.econbiz.de/10005463958

Inference with Weak Instruments

Andrews, Donald W.K.; Stock, James H. - Cowles Foundation for Research in Economics, Yale University - 2005

This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The …

Persistent link: https://www.econbiz.de/10004990694

Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Centre Interuniversitaire de Recherche en Analyse des … - 2005

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

Persistent link: https://www.econbiz.de/10005101039

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

Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis

DUFOUR, Jean-Marie Dufour; KHALAF, Lynda; KICHIAN, Maral - Département de Sciences Économiques, Université de … - 2005

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler’s (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

Persistent link: https://www.econbiz.de/10005353311

Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis

DUFOUR, Jean-Marie; KHALAF, Lynda; KICHIAN, Maral - Centre Interuniversitaire de Recherche en Économie … - 2005

Persistent link: https://www.econbiz.de/10008671536

Nonparametric Estimation of Triangular Simultaneous Equations Models under Weak Identification

Han, Sukjin - Department of Economics, University of Texas-Austin - 2012

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple … which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced form … functions where the associated rank shrinks to zero. The problem of weak instruments is characterized to be similar to the ill …

Persistent link: https://www.econbiz.de/10010905936