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On The Asymptotic Size Distortion Of Tests When Instruments Locally Violate The Exogeneity Assumption

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  • Guggenberger, Patrik
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    File URL: http://journals.cambridge.org/abstract_S0266466611000375
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 28 (2012)
    Issue (Month): 02 (April)
    Pages: 387-421

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    Handle: RePEc:cup:etheor:v:28:y:2012:i:02:p:387-421_00

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    Cited by:
    1. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, vol. 178(P3), pages 398-413.
    2. Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, School of Economics and Finance, revised 26 Jun 2012.
    3. Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011. "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests," Cowles Foundation Discussion Papers 1813, Cowles Foundation for Research in Economics, Yale University.
    4. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, School of Economics and Finance.
    6. Jan F. KIVIET & Jerzy NIEMCZYK, 2013. "On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous," Economic Growth centre Working Paper Series 1311, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
    7. Guggenberger, Patrik, 2012. "A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters," Economics Letters, Elsevier, vol. 117(3), pages 901-904.
    8. Jui-Chung Yang & Ke-Li Xu, 2013. "Estimation and Inference under Weak Identi cation and Persistence: An Application on Forecast-Based Monetary Policy Reaction Function," 2013 Papers pya307, Job Market Papers.

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