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Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 2018

This paper introduces a new identiﬁcation- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) test and a new identiﬁcation- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. Both tests are very fast to compute....

Persistent link: https://www.econbiz.de/10012909479

Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 2019

Persistent link: https://www.econbiz.de/10012889240

Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - 2014

Persistent link: https://www.econbiz.de/10010470613

Identification- and singularity-robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - 2014 - rev.

Persistent link: https://www.econbiz.de/10010487255

Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities

Andrews, Donald W. K. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003723159

Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities

Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometric theory 25 (2009) 3, pp. 669-709

Persistent link: https://www.econbiz.de/10003864159

Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Econometric theory 33 (2017) 5, pp. 1046-1080

Persistent link: https://www.econbiz.de/10011810250

Identification- and Singularity-Robust Inference for Moment Condition Models

Andrews, Donald W. K. - 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/10013030972

Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531

Persistent link: https://www.econbiz.de/10012483169

Identification‐ and singularity‐robust inference for moment condition models

Andrews, Donald W. K.; Guggenberger, Patrik - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1703-1746

This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment condition models. Both tests are very fast to...

Persistent link: https://www.econbiz.de/10012202897