Search Results - subject:"weak instruments"

A weak instrument F-test in linear IV models with multiple endogenous variables

Sanderson, Eleanor; Windmeijer, Frank - 2015

We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005 …), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we … consider a weak instruments problem of a near rank reduction of one in the matrix of reduced form parameters. For example, in a …

Persistent link: https://www.econbiz.de/10011445739

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics 3 (2015) 4, pp. 825-863

single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a …

Persistent link: https://www.econbiz.de/10011755304

Identification- and Singularity-Robust Inference for Moment Condition

Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015

This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. The paper shows that the tests have...

Persistent link: https://www.econbiz.de/10011107241

Large estimates of the elasticity of intertemporal substitution: is it the aggregate return series or the instrument list?

Gomes, Fábio; Paz, Lourenço - In: Economics Bulletin 35 (2015) 1, pp. 168-181

Since the 1980s, researchers have been puzzled by close to zero estimates of the elasticity of intertemporal substitution. Two possible causes are rates of return that are not representative of the agent's portfolio return and inconsistent estimates due to the weak instrument problem. We examine...

Persistent link: https://www.econbiz.de/10011199625

Unbiased Instrumental Variables Estimation under Known First-Stage Sign

Andrews, Isaiah; Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2015

We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first stage coefficients is known. In the case with a single instrument, the unbiased estimator is unique. For cases with multiple...

Persistent link: https://www.econbiz.de/10011207841

On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions

Doko Tchatoka, Firmin; Wang, Wenjie - School of Economics, University of Adelaide - 2015

This paper sheds new light on subset hypothesis testing in linear structural models in which instrumental variables (IVs) can be arbitrarily weak. For the first time, we investigate the validity of the bootstrap for Anderson-Rubin (AR) type tests of hypotheses specified on a subset of structural...

Persistent link: https://www.econbiz.de/10011184654

Unbiased Instrumental Variables Estimation under Known First-Stage Sign

Andrews, Isaiah; Armstrong, Timothy B. - Cowles Foundation for Research in Economics, Yale University - 2015

We derive mean-unbiased estimators for the structural parameter in instrumental variables models where the sign of one or more first stage coefficients is known. In the case with a single instrument, the unbiased estimator is unique. For cases with multiple instruments we propose a class of...

Persistent link: https://www.econbiz.de/10011150750

Revisiting the narrative approach of estimating tax multipliers

Hebous, Shafik; Zimmermann, Tom - Research Center SAFE (Sustainable Architecture for … - 2015

). All of them turn out to be weak instruments for observable measures of taxes. After correcting for weak instruments, we …

Persistent link: https://www.econbiz.de/10011213740

Unbiased instrumental variables estimation under

Andrews, Isaiah; Armstrong, Timothy B. - 2015

Persistent link: https://www.econbiz.de/10010486985

Revisiting the narrative approach of estimating tax multipliers

Hebous, Shafik; Zimmermann, Tom - 2015

). All of them turn out to be weak instruments for observable measures of taxes. After correcting for weak instruments, we …

Persistent link: https://www.econbiz.de/10010498598