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

by Frank Kleibergen

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  1. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, School of Economics and Management, University of Aarhus.
  2. Jun, Sung Jae, 2008. "Weak identification robust tests in an instrumental quantile model," Journal of Econometrics, Elsevier, vol. 144(1), pages 118-138, May.
  3. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April.
  4. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis," CIRANO Working Papers 2005s-30, CIRANO.
  5. 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, vol. 139(1), pages 116-132, July.
  6. Hillier, Grant, 2009. "Exact Properties Of The Conditional Likelihood Ratio Test In An Iv Regression Model," Econometric Theory, Cambridge University Press, vol. 25(04), pages 915-957, August.
  7. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
  8. Khalaf, Lynda & Kichian, Maral, 2003. "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche 0312, GREEN.
  9. Jean-Marie Dufour, 2003. "Identification, weak instruments, and statistical inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
  10. Caner, Mehmet & Yıldız, Neşe, 2012. "CUE with many weak instruments and nearly singular design," Journal of Econometrics, Elsevier, vol. 170(2), pages 422-441.
  11. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc.
  12. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Assessing Indexation-Based Calvo Inflation Models," Working Papers 09-7, Bank of Canada.
  13. Russell Davidson & James Mackinnon, 2009. "Wild bootstrap tests for IV regression," Working Papers halshs-00443550, HAL.
  14. Chao, John C. & Swanson, Norman R. & Hausman, Jerry A. & Newey, Whitney K. & Woutersen, Tiemen, 2012. "Asymptotic Distribution Of Jive In A Heteroskedastic Iv Regression With Many Instruments," Econometric Theory, Cambridge University Press, vol. 28(01), pages 42-86, February.
  15. Bekker, Paul A. & Kleibergen, Frank, 2001. "Finite-sample instrumental variables inference using an asymptotically pivotal statistic," CCSO Working Papers 200109, University of Groningen, CCSO Centre for Economic Research.
  16. Mittelhammer, Ron C. & Judge, George G., 2005. "Combining estimators to improve structural model estimation and inference under quadratic loss," Journal of Econometrics, Elsevier, vol. 128(1), pages 1-29, September.
  17. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
  18. D.S. Poskitt & C.L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Department of Economics - Working Papers Series 948, The University of Melbourne.
  19. 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 0302, National Bureau of Economic Research, Inc.
  20. Firmin Doko Tchatoka & Jean-Marie Dufour, 2014. "Identification-robust inference for endogeneity parameters in linear structural models," CIRANO Working Papers 2014s-17, CIRANO.
  21. Yvonne Adema & Lorenzo Pozzi, 2012. "Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis," Tinbergen Institute Discussion Papers 12-144/VI, Tinbergen Institute.
  22. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
  23. Dollar, David & Kraay, Aart, 2003. "Institutions, trade, and growth : revisiting the evidence," Policy Research Working Paper Series 3004, The World Bank.
  24. Patrik Guggenberger & Richard Smith, 2005. "Generalized empirical likelihood tests in time series models with potential identification failure," CeMMAP working papers CWP01/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  25. Lynda Khalaf & Maral Kichian, 2004. "Estimating New Keynesian Phillips Curves Using Exact Methods," Working Papers 04-11, Bank of Canada.
  26. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
  27. Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University.
  28. Jung Hur & Yohanes E. Riyanto, 2007. "Organizational Structure and Product Market Competition," Departmental Working Papers wp0705, National University of Singapore, Department of Economics.
  29. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
  30. 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 1813, Cowles Foundation for Research in Economics, Yale University.
  31. Donald W. K. Andrews & Xu Cheng, 2012. "Estimation and Inference With Weak, Semi‐Strong, and Strong Identification," Econometrica, Econometric Society, vol. 80(5), pages 2153-2211, 09.
  32. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Working Papers 0039, University of Washington, Department of Economics.
  33. 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, vol. 19(3), pages 520-533, July.
  34. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips curve," Working Paper 2005-01, Federal Reserve Bank of Atlanta.
  35. Lamichhane, Kamal & Sawada, Yasuyuki, 2013. "Disability and returns to education in a developing country," Economics of Education Review, Elsevier, vol. 37(C), pages 85-94.
  36. Christian Hansen & Jerry Hausman & Whitney Newey, 2006. "Estimation with many instrumental variables," CeMMAP working papers CWP19/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  37. Alfonso Flores-Lagunes, 2007. "Finite sample evidence of IV estimators under weak instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 677-694.
  38. Devash Kapur, Kishore Gawande, Shanker Satyanath, 2012. "Renewable Resource Shocks and Conflict in India’s Maoist Belt," Working Papers 302, Center for Global Development.
  39. repec:wyi:wpaper:001990 is not listed on IDEAS
  40. Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 117-131.
  41. John C. Chao & Norman Rasmus Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Yale School of Management Working Papers ysm374, Yale School of Management.
  42. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
  43. Russell Davidson & James G. MacKinnon, 2006. "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables," Working Papers 1024, Queen's University, Department of Economics.
  44. 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 200312, Rutgers University, Department of Economics.
  45. Berkowitz, Daniel & Caner, Mehmet & Fang, Ying, 2012. "The validity of instruments revisited," Journal of Econometrics, Elsevier, vol. 166(2), pages 255-266.
  46. 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, vol. 149(1), pages 52-64, April.
  47. Bekker, Paul A. & Lawford, Steve, 2008. "Symmetry-based inference in an instrumental variable setting," Journal of Econometrics, Elsevier, vol. 142(1), pages 28-49, January.
  48. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics.
  49. 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.
  50. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
  51. Noud P.A. van Giersbergen, 2011. "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers 11-08, Universiteit van Amsterdam, Dept. of Econometrics.
  52. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
  53. Anna Mikusheva & Brian P. Poi, 2006. "Tests and confidence sets with correct size when instruments are potentially weak," Stata Journal, StataCorp LP, vol. 6(3), pages 335-347, September.
  54. repec:wyi:journl:002137 is not listed on IDEAS
  55. C.L. Skeels, 2007. "Conceptual Frameworks and Experimental Design in Simultaneous Equations," Department of Economics - Working Papers Series 1020, The University of Melbourne.
  56. Yvonne Adema & Lorenzo Pozzi, 2012. "Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis," Tinbergen Institute Discussion Papers 12-144/VI, Tinbergen Institute.
  57. 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, vol. 52(6), pages 3148-3161, February.
  58. 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.
  59. 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 143, Center for Policy Research, Maxwell School, Syracuse University.
  60. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Structural Inflation Models with Real Wage Rigidities: The Case of Canada," Working Papers 09-21, Bank of Canada.
  61. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
  62. 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 357, UCLA Department of Economics.
  63. Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, School of Economics and Finance.
  64. Hahn, Jinyong & Ham, John C. & Moon, Hyungsik Roger, 2011. "The Hausman test and weak instruments," Journal of Econometrics, Elsevier, vol. 160(2), pages 289-299, February.
  65. Moreira, Marcelo J., 2009. "Tests with correct size when instruments can be arbitrarily weak," Journal of Econometrics, Elsevier, vol. 152(2), pages 131-140, October.
  66. 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.
  67. 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, vol. 139(1), pages 133-153, July.
  68. Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall.
  69. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh.
  70. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009.
  71. Russell Davidson & James G. MacKinnon, 2014. "Bootstrap tests for overidentification in linear regression models," Working Papers 1318, Queen's University, Department of Economics.
  72. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers 0802, Tulane University, Department of Economics.
  73. Charlotta Groth & Hashmat Khan, 2007. "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers 332, Bank of England.
  74. 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.
  75. Mikusheva, Anna, 2010. "Robust confidence sets in the presence of weak instruments," Journal of Econometrics, Elsevier, vol. 157(2), pages 236-247, August.
  76. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics.
  77. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.
  78. Guido Imbens, 2014. "Instrumental Variables: An Econometrician's Perspective," NBER Working Papers 19983, National Bureau of Economic Research, Inc.
  79. repec:wyi:journl:002149 is not listed on IDEAS
  80. 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, vol. 146(2), pages 241-254, October.
  81. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2554-2561, November.
  82. 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.
  83. Russell Davidson & James G. MacKinnon, 2011. "Confidence Sets Based on Inverting Anderson-Rubin Tests," Working Papers 1257, Queen's University, Department of Economics.
  84. 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, vol. 34(9), pages 1582-1595, September.
  85. Matteo Maggiori, 2013. "The U.S. Dollar Safety Premium," 2013 Meeting Papers 75, Society for Economic Dynamics.
  86. Doko Tchatoka, Firmin, 2011. "Testing for partial exogeneity with weak identification," MPRA Paper 39504, University Library of Munich, Germany, revised Mar 2012.
  87. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July.
  88. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers 139, Netherlands Central Bank, Research Department.
  89. Imbens, Guido W., 2014. "Instrumental Variables: An Econometrician's Perspective," IZA Discussion Papers 8048, Institute for the Study of Labor (IZA).
  90. Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
  91. Giuseppe Migali & Ian Walker, 2011. "Estimates of the Causal Effects of Education on Earnings over the Lifecycle with Cohort Eects and Endogenous Education," Working Papers 2248796, Lancaster University Management School, Economics Department.
  92. repec:wyi:wpaper:001999 is not listed on IDEAS
  93. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  94. 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, vol. 144(1), pages 276-305, May.
  95. Wenjie Wang, 2012. "Bootstrapping Anderson-Rubin Statistic and J Statistic in Linear IV Models with Many Instruments," KIER Working Papers 810, Kyoto University, Institute of Economic Research.
  96. 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.
  97. 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, vol. 37(4), pages 800-811, April.
  98. Francisco Alcalá & Antonio Ciccone, 2003. "Trade, extent of the market and economic growth 1960-1996," Economics Working Papers 765, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2003.