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Exponential Tilting with Weak Instruments: Estimation and Testing

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  • Mehmet Caner

Abstract

This article analyses exponential tilting estimator with weak instruments in a nonlinear framework. Our paper differs from the previous literature in the context of consistency proof. Tests that are robust to the identification problem are also analysed. These are Anderson-Rubin and Kleibergen types of test statistics. We also conduct a simulation study wherein we compare empirical likelihood and continuous updating-based tests with exponential tilting (ET)-based ones. The designs involve GARCH(1,1) and contaminated structural errors. We find that ET-based Kleibergen test has the best size among these competitors. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2010.

Suggested Citation

  • Mehmet Caner, 2010. "Exponential Tilting with Weak Instruments: Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(3), pages 307-325, June.
  • Handle: RePEc:bla:obuest:v:72:y:2010:i:3:p:307-325
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2009.00579.x
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    References listed on IDEAS

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    1. Esmeralda A. Ramalho & Richard J. Smith, 2013. "Discrete Choice Non-Response," Review of Economic Studies, Oxford University Press, pages 343-364.
    2. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, pages 667-709.
    3. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, pages 285-304.
    4. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, pages 219-255.
    5. Lee, Sokbae, 2008. "Estimating Panel Data Duration Models With Censored Data," Econometric Theory, Cambridge University Press, pages 1254-1276.
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    Cited by:

    1. Martin Boileau & Michel Normandin, 2012. "Do tax cuts generate twin deficits? A multi-country analysis," Canadian Journal of Economics, Canadian Economics Association, pages 1667-1699.
    2. Mehmet Caner, 2010. "Exponential Tilting with Weak Instruments: Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 307-325.
    3. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Timothy G. Conley & Christopher R. Taber, 2011. "Inference with "Difference in Differences" with a Small Number of Policy Changes," The Review of Economics and Statistics, MIT Press, pages 113-125.
    5. Lee, Sokbae, 2008. "Estimating Panel Data Duration Models With Censored Data," Econometric Theory, Cambridge University Press, pages 1254-1276.
    6. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," School of Economics Discussion Papers 0206, School of Economics, University of Surrey.
    7. repec:eee:econom:v:202:y:2018:i:1:p:57-74 is not listed on IDEAS
    8. Guggenberger, Patrik & Smith, Richard J., 2005. "Generalized Empirical Likelihood Estimators And Tests Under Partial, Weak, And Strong Identification," Econometric Theory, Cambridge University Press, pages 667-709.
    9. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc.
    10. Alain Guay & Jean-Francois Lamarche, 2005. "The Information Content of Implied Probabilities to Detect Structural Change," Working Papers 0804, Brock University, Department of Economics, revised Oct 2008.
    11. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, pages 331-349.

    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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