This paper develops Wald-type tests for general (possibly nonlinear) restrictions in the context of a weakly-identified heteroskedastic IV regression. In particular, it is first shown that, in a framework with many weak instruments, consistency and asymptotic normality can be obtained when estimating structural parameters using JIVE, even if disturbances exhibit heteroskedasticity of unknown form. This is not the case, however, with other well-known IV estimators, such as LIML, Fuller's modified LIML, 2SLS, and B2SLS, which are shown to be inconsistent in general under heteroskedasticity. We also introduce new covariance matrix estimators for JIVE, which are consistent even when instrument weakness is such that the rate of growth of the concentration parameter, r(n), is slower than that of the number of instruments, K(n), and possibly much slower than the sample size n, provided that K(n)^0.5/r(n) goes to zero as n approaches infinity. Wald test statistics are then constructed using these covariance matrix estimators, and the resulting statistics are shown to have limiting chi-square distributions under the null hypothesis. A primary advantage of our approach is that, relative to other testing frameworks which have previously been proposed in the weak instruments literature, our framework allows one to test hypotheses more general than simple point null hypotheses. We feel that this feature, taken together with the fact that our tests are robust to heteroskedasticity of unknown form, is important from the perspective of empirical application, given that testing general linear and nonlinear restrictions are often of interest to empirical researchere, and given that heteroskedasticity is prevalent, particularly in microeconomic datasets
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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.:
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.)