IDEAS home Printed from https://ideas.repec.org/a/ecm/emetrp/v70y2002i5p1781-1803.html
   My bibliography  Save this article

Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

Author

Listed:
  • Frank Kleibergen

    () (University of Amsterdam, The Netherlands)

Abstract

We propose a novel statistic for conducting joint tests on all the structural parameters in instrumental variables regression. The statistic is straightforward to compute and equals a quadratic form of the score of the concentrated log-likelihood. It therefore attains its minimal value equal to zero at the maximum likelihood estimator. The statistic has a χ-super-2 limiting distribution with a degrees of freedom parameter equal to the number of structural parameters. The limiting distribution does not depend on nuisance parameters. The statistic overcomes the deficiencies of the Anderson-Rubin statistic, whose limiting distribution has a degrees of freedom parameter equal to the number of instruments, and the likelihood based, Wald, likelihood ratio, and Lagrange multiplier statistics, whose limiting distributions depend on nuisance parameters. Size and power comparisons reveal that the statistic is a (asymptotic) size-corrected likelihood ratio statistic. We apply the statistic to the Angrist-Krueger (1991) data and find similar results as in Staiger and Stock (1997). Copyright The Econometric Society 2002.

Suggested Citation

  • Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
  • Handle: RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1781-1803
    as

    Download full text from publisher

    File URL: http://www.blackwellpublishing.com/ecta/asp/abstract.asp?iid=5&aid=353&vid=70
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1781-1803. See general 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: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/essssea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.