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Further results on projection-based inference in IV regressions with weak, collinear or missing instruments

  • Dufour, Jean-Marie
  • Taamouti, Mohamed

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 139 (2007)
Issue (Month): 1 (July)
Pages: 133-153

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Handle: RePEc:eee:econom:v:139:y:2007:i:1:p:133-153
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  2. Dufour, J.M., 1981. "Generalized Chow Tests for Structural Change: a Coordinate-Free Approach," Cahiers de recherche 8128, Universite de Montreal, Departement de sciences economiques.
  3. Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995. "Jackknife Instrumental Variables Estimation," NBER Technical Working Papers 0172, National Bureau of Economic Research, Inc.
  4. Benoit Perron, 2000. "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off," Econometric Society World Congress 2000 Contributed Papers 1576, Econometric Society.
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  8. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
  9. Charles R. Nelson & Richard Startz & Eric Zivot, 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Econometrics 9612002, EconWPA.
  10. Jonathan H. Wright, 2000. "Detecting lack of identification in GMM," International Finance Discussion Papers 674, Board of Governors of the Federal Reserve System (U.S.).
  11. Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
  12. Savin, N.E., 1984. "Multiple hypothesis testing," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 14, pages 827-879 Elsevier.
  13. Nelson, C. & Startz, R., 1988. "Some Furthere Results On The Exact Small Sample Properties Of The Instrumental Variable Estimator," Working Papers 88-06, University of Washington, Department of Economics.
  14. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  15. In Choi & Peter C.B. Phillips, 1989. "Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations," Cowles Foundation Discussion Papers 929, Cowles Foundation for Research in Economics, Yale University.
  16. Alastair R. Hall & Glenn D. Rudebusch & David W. Wilcox, 1994. "Judging instrument relevance in instrumental variables estimation," Finance and Economics Discussion Series 94-3, Board of Governors of the Federal Reserve System (U.S.).
  17. Cragg, John G. & Donald, Stephen G., 1993. "Testing Identifiability and Specification in Instrumental Variable Models," Econometric Theory, Cambridge University Press, vol. 9(02), pages 222-240, April.
  18. Harrison, Ann, 1991. "Openness and growth : a time series, cross-country analysis for developing countries," Policy Research Working Paper Series 809, The World Bank.
  19. Forchini, G. & Hillier, G.H., 1999. "Conditional inference for possibly unidentified structural equations," Discussion Paper Series In Economics And Econometrics 9906, Economics Division, School of Social Sciences, University of Southampton.
  20. Dufour, J.-M., 1986. "Nonlinear hypotheses, inequality restrictions and non-nested hypotheses: Exact simultaneous tests in linear regressions," CORE Discussion Papers 1986016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  21. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-94, March.
  22. Bekker, Paul & Kleibergen, Frank, 2003. "Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic," Econometric Theory, Cambridge University Press, vol. 19(05), pages 744-753, October.
  23. Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-43, August.
  24. James H. Stock & Motohiro Yogo, 2002. "Testing for Weak Instruments in Linear IV Regression," NBER Technical Working Papers 0284, National Bureau of Economic Research, Inc.
  25. Nelson, Charles R & Startz, Richard, 1990. "The Distribution of the Instrumental Variables Estimator and Its t-Ratio When the Instrument Is a Poor One," The Journal of Business, University of Chicago Press, vol. 63(1), pages S125-40, January.
  26. David H. Romer & Jeffrey A. Frankel, 1999. "Does Trade Cause Growth?," American Economic Review, American Economic Association, vol. 89(3), pages 379-399, June.
  27. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  28. Alastair Hall & Fernanda P. M. Peixe, 2000. "A Consistent Method for the Selection of Relevant Instruments," Econometric Society World Congress 2000 Contributed Papers 0790, Econometric Society.
  29. Jeffrey A. Frankel & David Romer, 1996. "Trade and Growth: An Empirical Investigation," NBER Working Papers 5476, National Bureau of Economic Research, Inc.
  30. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  31. Jonathan H. Wright, 2002. "Testing the null of identification in GMM," International Finance Discussion Papers 732, Board of Governors of the Federal Reserve System (U.S.).
  32. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, May.
  33. Joshua D. Angrist & Alan B. Keueger, 1991. "Does Compulsory School Attendance Affect Schooling and Earnings?," The Quarterly Journal of Economics, Oxford University Press, vol. 106(4), pages 979-1014.
  34. Jinyong Hahn & Jerry Hausman, 2002. "A New Specification Test for the Validity of Instrumental Variables," Econometrica, Econometric Society, vol. 70(1), pages 163-189, January.
  35. John Shea, 1997. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 348-352, May.
  36. Rodrik, Rani, 1995. "Trade and industrial policy reform," Handbook of Development Economics, in: Hollis Chenery & T.N. Srinivasan (ed.), Handbook of Development Economics, edition 1, volume 3, chapter 45, pages 2925-2982 Elsevier.
  37. Hahn, Jinyong & Hausman, Jerry, 2002. "Notes on bias in estimators for simultaneous equation models," Economics Letters, Elsevier, vol. 75(2), pages 237-241, April.
  38. N. Gregory Mankiw & David Romer & David N. Weil, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, Oxford University Press, vol. 107(2), pages 407-437.
  39. Douglas A. Irwin & Marko Tervio, 2000. "Does Trade Raise Income? Evidence from the Twentieth Century," NBER Working Papers 7745, National Bureau of Economic Research, Inc.
  40. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  41. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  42. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  43. Jiahui Wang & Eric Zivot, 1998. "Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 66(6), pages 1389-1404, November.
  44. Marcelo J. Moreira, 2003. "A General Theory of Hypothesis Testing in the Simultaneous Equations Model," Harvard Institute of Economic Research Working Papers 1992, Harvard - Institute of Economic Research.
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