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Citations for "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression"

by Frank Kleibergen

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  1. Bolduc, Denis & Khalaf, Lynda & Moyneur, Érick, 2008. "Identification-robust simulation-based inference in joint discrete/continuous models for energy markets," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(6), pages 3148-3161, February.
  2. John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers, Rutgers University, Department of Economics 200421, Rutgers University, Department of Economics.
  3. Patrik Guggenberger & Richard Smith, 2005. "Generalized empirical likelihood tests in time series models with potential identification failure," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP01/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Donald W.K. Andrews & Xu Cheng, 2010. "Estimation and Inference with Weak, Semi-strong, and Strong Identification," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1773R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
  5. Alfonso Flores-Lagunes, 2007. "Finite sample evidence of IV estimators under weak instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(3), pages 677-694.
  6. Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014. "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 03-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  7. Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 113(486), pages C26-C52, March.
  8. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2003-12, Universite de Montreal, Departement de sciences economiques.
  9. Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 20(4), pages 111-132, Fall.
  10. Jung Hur & Yohanes E. Riyanto, 2007. "Organizational Structure and Product Market Competition," Departmental Working Papers, National University of Singapore, Department of Economics wp0705, National University of Singapore, Department of Economics.
  11. Guido Imbens, 2014. "Instrumental Variables: An Econometrician's Perspective," NBER Working Papers 19983, National Bureau of Economic Research, Inc.
  12. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1393, Cowles Foundation for Research in Economics, Yale University.
  13. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
  14. Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
  15. Chao & Swanson & Hausman & Newey & Woutersen, 2010. "Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 567, The Johns Hopkins University,Department of Economics.
  16. Hahn, Jinyong & Ham, John C. & Moon, Hyungsik Roger, 2011. "The Hausman test and weak instruments," Journal of Econometrics, Elsevier, Elsevier, vol. 160(2), pages 289-299, February.
  17. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers, Society for Economic Dynamics 75, Society for Economic Dynamics.
  18. Maral Kichian & Jean-Marie Dufour & Lynda Khalaf, 2004. "Are New Keynesian Phillips Curves Identified ?," Econometric Society 2004 North American Summer Meetings, Econometric Society 424, Econometric Society.
  19. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics, EconWPA 9905001, EconWPA.
  20. Moreira, Marcelo J. & Porter, Jack R. & Suarez, Gustavo A., 2009. "Bootstrap validity for the score test when instruments may be weak," Journal of Econometrics, Elsevier, Elsevier, vol. 149(1), pages 52-64, April.
  21. Bekker, Paul & Kleibergen, Frank, 2003. "Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(05), pages 744-753, October.
  22. Patrik Guggenberger, 2005. "Generalized Empirical Likelihood Tests in Time Series Models With Potential Identification Failure (joint with R.J.Smith), accepted for publication, Journal of Econometrics," UCLA Economics Online Papers, UCLA Department of Economics 357, UCLA Department of Economics.
  23. Doko Tchatoka, Firmin, 2011. "Testing for partial exogeneity with weak identification," MPRA Paper 39504, University Library of Munich, Germany, revised Mar 2012.
  24. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers, Tulane University, Department of Economics 0802, Tulane University, Department of Economics.
  25. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, Elsevier, vol. 139(1), pages 181-216, July.
  26. Fe, Eduardo & Hollingsworth, Bruce, 2012. "Estimating the eect of retirement on mental health via panel discontinuity designs," MPRA Paper 38162, University Library of Munich, Germany.
  27. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 375-395, April.
  28. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Assessing Indexation-Based Calvo Inflation Models," Working Papers, Bank of Canada 09-7, Bank of Canada.
  29. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0302, National Bureau of Economic Research, Inc.
  30. C.L. Skeels, 2007. "Conceptual Frameworks and Experimental Design in Simultaneous Equations," Department of Economics - Working Papers Series, The University of Melbourne 1020, The University of Melbourne.
  31. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 331-349.
  32. Leandro M. Magnusson, 2010. "Inference in limited dependent variable models robust to weak identification," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 13(3), pages S56-S79, October.
  33. Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 143, Center for Policy Research, Maxwell School, Syracuse University.
  34. Yvonne Adema & Lorenzo Pozzi, 2012. "Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute 12-144/VI, Tinbergen Institute.
  35. Russell Davidson & James G. MacKinnon, 2014. "Bootstrap tests for overidentification in linear regression models," Working Papers, Queen's University, Department of Economics 1318, Queen's University, Department of Economics.
  36. D.S. Poskitt & C.L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Department of Economics - Working Papers Series, The University of Melbourne 948, The University of Melbourne.
  37. Dollar, David & Kraay, Aart, 2003. "Institutions, trade, and growth : revisiting the evidence," Policy Research Working Paper Series 3004, The World Bank.
  38. Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers, University of Tasmania, School of Economics and Finance 10668, University of Tasmania, School of Economics and Finance.
  39. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
  40. Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H., 2007. "Performance of conditional Wald tests in IV regression with weak instruments," Journal of Econometrics, Elsevier, Elsevier, vol. 139(1), pages 116-132, July.
  41. Mikusheva, Anna, 2010. "Robust confidence sets in the presence of weak instruments," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 236-247, August.
  42. 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, Econometric Society 408, Econometric Society.
  43. Christian Hansen & Jerry Hausman & Whitney Newey, 2006. "Estimation with many instrumental variables," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP19/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  44. Russell Davidson & James MacKinnon, 2006. "Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables," Departmental Working Papers, McGill University, Department of Economics 2006-21, McGill University, Department of Economics.
  45. Davidson, Russell & MacKinnon, James G., 2010. "Wild Bootstrap Tests for IV Regression," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 28(1), pages 128-144.
  46. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Structural Inflation Models with Real Wage Rigidities: The Case of Canada," Working Papers, Bank of Canada 09-21, Bank of Canada.
  47. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1608, Cowles Foundation for Research in Economics, Yale University.
  48. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
  49. repec:wyi:wpaper:001999 is not listed on IDEAS
  50. Francisco Alcalá & Antonio Ciccone, 2003. "Trade, extent of the market and economic growth 1960-1996," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 765, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2003.
  51. DUFOUR, Jean-Marie Dufour & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2005-17, Universite de Montreal, Departement de sciences economiques.
  52. Devash Kapur, Kishore Gawande, Shanker Satyanath, 2012. "Renewable Resource Shocks and Conflict in India’s Maoist Belt," Working Papers, Center for Global Development 302, Center for Global Development.
  53. Conley, Timothy G. & Hansen, Christian B. & McCulloch, Robert E. & Rossi, Peter E., 2008. "A semi-parametric Bayesian approach to the instrumental variable problem," Journal of Econometrics, Elsevier, Elsevier, vol. 144(1), pages 276-305, May.
  54. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche, CIRPEE 0747, CIRPEE.
  55. 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, Cowles Foundation for Research in Economics, Yale University 1813, Cowles Foundation for Research in Economics, Yale University.
  56. Doko Tchatoka, Firmin Sabro & Dufour, Jean-Marie, 2008. "Instrument endogeneity and identification-robust tests: some analytical results," MPRA Paper 29613, University Library of Munich, Germany.
  57. Kamal Lamichhane & Yasuyuki Sawada, 2009. "Disability and Returns to Education in a Developing Country," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-645, CIRJE, Faculty of Economics, University of Tokyo.
  58. Giuseppe Migali & Ian Walker, 2011. "Estimates of the causal effects of education on earnings over the lifecycle with cohort effects and endogenous education," Working Papers 2248796, Lancaster University Management School, Economics Department.
  59. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1606, Cowles Foundation for Research in Economics, Yale University.
  60. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, Elsevier, vol. 149(2), pages 149-173, April.
  61. Charlotta Groth & Hashmat Khan, 2007. "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers, Bank of England 332, Bank of England.
  62. Mittelhammer, Ron C. & Judge, George G., 2005. "Combining estimators to improve structural model estimation and inference under quadratic loss," Journal of Econometrics, Elsevier, Elsevier, vol. 128(1), pages 1-29, September.
  63. Shen, Yan & Shen, Minggao & Xu, Zhong & Bai, Ying, 2009. "Bank Size and Small- and Medium-sized Enterprise (SME) Lending: Evidence from China," World Development, Elsevier, Elsevier, vol. 37(4), pages 800-811, April.
  64. Grant Hillier, 2006. "Exact properties of the conditional likelihood ratio test in an IV regression model," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP23/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  65. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  66. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2012. "Optimal inference for instrumental variables regression with non-Gaussian errors," Journal of Econometrics, Elsevier, Elsevier, vol. 167(1), pages 1-15.
  67. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 379-398, January.
  68. Lynda Khalaf & Maral Kichian, 2004. "Estimating New Keynesian Phillips Curves Using Exact Methods," Working Papers, Bank of Canada 04-11, Bank of Canada.
  69. Noud P.A. van Giersbergen, 2011. "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 11-08, Universiteit van Amsterdam, Dept. of Econometrics.
  70. John C. Chao & Norman R. Swanson, 2003. "Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments," Departmental Working Papers, Rutgers University, Department of Economics 200312, Rutgers University, Department of Economics.
  71. Tam, Henry & Lai, Liona, 2009. "Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(3), pages 520-533, July.
  72. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(9), pages 1582-1595, September.
  73. Imbens, Guido W., 2014. "Instrumental Variables: An Econometrician's Perspective," IZA Discussion Papers 8048, Institute for the Study of Labor (IZA).
  74. Andrews, Donald W.K. & Moreira, Marcelo J. & Stock, James H., 2008. "Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments," Journal of Econometrics, Elsevier, Elsevier, vol. 146(2), pages 241-254, October.
  75. Hakan, Yilmazkuday, 2009. "Is there a Role for International Trade Costs in Explaining the Central Bank Behavior?," MPRA Paper 15951, University Library of Munich, Germany.
  76. repec:wyi:wpaper:001990 is not listed on IDEAS
  77. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0313, National Bureau of Economic Research, Inc.
  78. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 21/05, Monash University, Department of Econometrics and Business Statistics.
  79. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  80. repec:wyi:journl:002137 is not listed on IDEAS
  81. Yvonne Adema & Lorenzo Pozzi, 2012. "Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute 12-144/VI, Tinbergen Institute.
  82. Kasey S. Buckles & Daniel M. Hungerman, 2013. "Season of Birth and Later Outcomes: Old Questions, New Answers," The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 711-724, July.
  83. Dufour, Jean-Marie & Taamouti, Mohamed, 2007. "Further results on projection-based inference in IV regressions with weak, collinear or missing instruments," Journal of Econometrics, Elsevier, Elsevier, vol. 139(1), pages 133-153, July.
  84. Bekker, Paul A. & Lawford, Steve, 2008. "Symmetry-based inference in an instrumental variable setting," Journal of Econometrics, Elsevier, Elsevier, vol. 142(1), pages 28-49, January.
  85. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, Elsevier, vol. 170(2), pages 422-441.
  86. Anna Mikusheva & Brian P. Poi, 2006. "Tests and confidence sets with correct size when instruments are potentially weak," Stata Journal, StataCorp LP, StataCorp LP, vol. 6(3), pages 335-347, September.
  87. S. G. B Henry & A. R. Pagan, 2004. "The Econometrics of the New Keynesian Policy Model: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 66(s1), pages 581-607, 09.
  88. Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 29(1), pages 117-131.
  89. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers, Queen's University, Department of Economics 1023, Queen's University, Department of Economics.
  90. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers, Netherlands Central Bank, Research Department 139, Netherlands Central Bank, Research Department.
  91. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2554-2561, November.
  92. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers, Edinburgh School of Economics, University of Edinburgh 168, Edinburgh School of Economics, University of Edinburgh.
  93. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, Elsevier, vol. 166(2), pages 255-266.
  94. Wenjie Wang, 2012. "Bootstrapping Anderson-Rubin Statistic and J Statistic in Linear IV Models with Many Instruments," KIER Working Papers, Kyoto University, Institute of Economic Research 810, Kyoto University, Institute of Economic Research.
  95. Moreira, Marcelo J., 2009. "Tests with correct size when instruments can be arbitrarily weak," Journal of Econometrics, Elsevier, Elsevier, vol. 152(2), pages 131-140, October.
  96. Russell Davidson & James G. MacKinnon, 2011. "Confidence Sets Based on Inverting Anderson-Rubin Tests," Working Papers, Queen's University, Department of Economics 1257, Queen's University, Department of Economics.
  97. repec:wyi:journl:002149 is not listed on IDEAS
  98. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  99. Jun, Sung Jae, 2008. "Weak identification robust tests in an instrumental quantile model," Journal of Econometrics, Elsevier, Elsevier, vol. 144(1), pages 118-138, May.