This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Finite-sample instrumental variables inference using an asymptotically pivotal statistic

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Bekker, Paul A.
Kleibergen, Frank (Groningen University)

Additional information is available for the following registered author(s):

Abstract

The paper considers the K-statistic, Kleibergen’s (2000) adaptation of the Anderson-Rubin (AR) statistic in instrumental variables regression. Compared to the AR-statistic this K-statistic shows improved asymptotic efficiency in terms of degrees of freedom in overidenti?ed models and yet it shares, asymptotically, the pivotal property of the AR statistic. That is, asymptotically it has a chi-square distribution whether or not the model is identi?ed. This pivotal property is very relevant for size distortions in ?nite-sample tests. Whereas Kleibergen (2000) focuses especially on the asymptotic behavior of the statistic, the present paper concentrates on finite-sample properties in a Gaussian framework. In that case the AR statistic has an F-distribution. However, the K-statistic is not exactly pivotal. Its finite-sample distribution is affected by nuisance parameters. Here we consider the two extreme cases, which provide tight bounds for the exact distribution. The first case amounts to perfect identification —which is similar to the asymptotic case—where the statistic has an F-distribution. In the other extreme case there is total underidentification. For the latter case we show how to compute the exact distribution. Thus we provide tight bounds for exact con?dence sets based on the efficient K-statistic. Asymptotically the two bounds converge, except when there is a large number of redundant instruments.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://irs.ub.rug.nl/ppn/241234743
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by University of Groningen, CCSO Centre for Economic Research in its series CCSO Working Papers with number 200109.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 2001
Date of revision:
Handle: RePEc:dgr:rugccs:200109

Contact details of provider:
Postal: PO Box 800, 9700 AV Groningen
Phone: +31 50 363 7185
Fax: +31 50 363 3720
Email:
Web page: http://ccso.eldoc.ub.rug.nl/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (C.M. Swennenhuis).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jinyong Hahn & Jerry Hausman, 2002. "A New Specification Test for the Validity of Instrumental Variables," Econometrica, Econometric Society, vol. 70(1), pages 163-189, January. [Downloadable!] (restricted)
    Other versions:
  2. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    Other versions:
  3. Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Discussion Papers in Economics at the University of Washington 88-06, Department of Economics at the University of Washington.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    Other versions:
  2. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]
  3. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by editing a NEP report.

This page was last updated on 2008-8-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.