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Optimal Invariant Similar Tests for Instrumental Variables Regression
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - 2021
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...
Persistent link: https://www.econbiz.de/10013231228
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Optimal two-sided invariant similar tests for instrumental variables regression
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 3, pp. 715-752
Persistent link: https://www.econbiz.de/10003329584
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Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 146 (2008) 2, pp. 241-254
Persistent link: https://www.econbiz.de/10003782963
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Performance of conditional Wald tests in IV regression with weak instruments
Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. - In: Journal of econometrics 139 (2007) 1, pp. 116-132
Persistent link: https://www.econbiz.de/10003516736
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Optimal Invariant Similar Tests for Instrumental Variables Regression
Andrews, Donald W.K. - 2004
This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have certain optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...
Persistent link: https://www.econbiz.de/10012468031
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Tests with correct size when instruments can be arbitrarily weak
Moreira, Marcelo J. - In: Journal of econometrics 152 (2009) 2, pp. 131-140
Persistent link: https://www.econbiz.de/10003892731
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A conditional likelihood ratio test for structural models
Moreira, Marcelo J. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 4, pp. 1027-1048
Persistent link: https://www.econbiz.de/10001792647
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Implementing tests with correct size in the simultaneous equation model
Moreira, Marcelo J. (contributor); Poi, Brian P. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001875490
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A general theory of hypothesis testing in the simultaneous equations model
Moreira, Marcelo J. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001875505
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Bootstrap and higher-order expansion validity when instruments may be weak
Moreira, Marcelo J. (contributor); Porter, Jack (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002531175