Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
AbstractWe 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 InfoIf 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.
Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 00-055/4.
Date of creation: 05 Jul 2000
Date of revision:
Contact details of provider:
Web page: http://www.tinbergen.nl
instrumental variables regression; weak instruments; pivotal statistics;
Other versions of this item:
- Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral 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 references are entirely missing, you can add them using this form.