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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Chen, Xiaohong; Christensen, Timothy M. - 2017 - Revised: January 25, 2017

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...

Persistent link: https://www.econbiz.de/10011596624

Efficiency loss of asymptotically efficient tests in an instrumental variables regression

Moreira, Marcelo J.; Ridder, Geert - 2019

In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that depend on the data only through the Anderson-Rubin (AR) and Lagrange Multiplier (LM) statistics ignore important information on the regression coefficients. This is in contrast...

Persistent link: https://www.econbiz.de/10011958229

A note on specification testing in some structural regression models

Beckert, Walter - 2019

There exists a useful framework for jointly implementing Durbin-Wu-Hausman exogeneity and Sargan-Hansen overidenti cation tests, as a single arti cial regression. This note sets out the framework for linear models and discusses its extension to non-linear models. It also provides an empirical...

Persistent link: https://www.econbiz.de/10012008229

Analysis of interactive fixed effects dynamic linear panel regression with measurement error

Lee, Nayoung; Moon, Hyungsik Roger; Weidner, Martin - 2011

This paper studies a simple dynamic panel linear regression model with interactive fixed effects in which the variable … (LS-MD) estimation method. -- dynamic panel ; interactive fixed effects ; measurement error ; LS-MD estimation …

Persistent link: https://www.econbiz.de/10009419307

Inference in high dimensional panel models with an application to gun control

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2014 - This version is of November 24, 2014

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in … parameters in the canonical linear fixed effects model and over coefficients on a fixed vector of endogenous variables in panel …

Persistent link: https://www.econbiz.de/10010459263