Advanced Search
MyIDEAS: Login to save this paper or follow this series

Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

Contents:

Author Info

  • Frank Kleibergen

    ()
    (University of Amsterdam)

Abstract

We propose a novel statistic for testing the structural parameters in Instrumental Variables Regression. The statistic is straightforward to compute and has a limiting distribution that is pivotal with a degrees of freedom parameter that is equal to the number of tested parameters. It therefore differs from the Anderson-Rubin statistic, whose limiting distribution is pivotal but has a degrees of freedom parameter that is equal to the number of instruments, and the Likelihood based, Wald, Likelihood Ratio and Lagrange Multiplier, statistics, whose limiting distributions are not pivotal. We analyze the relationship between the statistic and the concentrated likelihood of the structural parameters and show that its' limiting distribution is not affected by weak instruments. We discuss examples of the non-standard shapes of the asymptotically pivotal confidence sets that can be constructed using the statistic and investigate its power properties. To show its importance for practical purposes, we apply the statistic to the Angrist-Krueger (1991) data and find similar results as in Staiger and Stock (1997). This discussion paper has resulted in a publication in Econometrica , 2002, 70(5), 1781-1803.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://papers.tinbergen.nl/00055.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-055/4.

as in new window
Length:
Date of creation: 05 Jul 2000
Date of revision:
Handle: RePEc:dgr:uvatin:20000055

Contact details of provider:
Web page: http://www.tinbergen.nl

Related research

Keywords: instrumental variables regression; weak instruments; pivotal statistics;

Other versions of this item:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:dgr:uvatin:20000055. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Maartens (+31 626 - 160 892)).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.