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Symmetry-based inference in an instrumental variable setting

  • Bekker, Paul A.
  • Lawford, Steve

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4NSMMVX-5/2/b60ee6399a72e9f31d434d4ad10aee1f
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 142 (2008)
Issue (Month): 1 (January)
Pages: 28-49

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Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:28-49
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. 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.
  2. Nelson, C.R. & Startz, R. & Zivot, E., 1996. "Valid Confidence Intervals and Inference in the Presence of Weak Instruments," Discussion Papers in Economics at the University of Washington 96-15, Department of Economics at the University of Washington.
  3. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Cahiers de recherche 9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Joshua Angrist & Alan Krueger, 1990. "Does Compulsory School Attendance Affect Schooling and Earnings?," Working Papers 653, Princeton University, Department of Economics, Industrial Relations Section..
  5. Donald, Stephen G. & Whitney Newey, 1999. "Choosing the Number of Instruments," Working papers 99-05, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
  7. Woglom, Geoffrey, 2001. "More Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 69(5), pages 1381-89, September.
  8. 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.
  9. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
  10. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
  11. Nelson, C. & Startz, R., 1988. "The Distribution Of The Instrumental Variables Estimator And Its T-Ratio When The Instrument Is A Poor One," Working Papers 88-07, University of Washington, Department of Economics.
  12. Jinyong Hahn & Jerry Hausman, 1999. "A New Specification Test for the Validity of Instrumental Variables," Working papers 99-11, Massachusetts Institute of Technology (MIT), Department of Economics.
  13. Charles R. Nelson & Richard Startz, 1988. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator," NBER Technical Working Papers 0068, National Bureau of Economic Research, Inc.
  14. Bekker, Paul A., 2002. "Exact inference for the linear model with groupwise heteroscedastic spherical disturbances," Journal of Econometrics, Elsevier, vol. 111(2), pages 285-302, December.
  15. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  16. 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.
  17. 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.
  18. Guido W. Imbens & Paul R. Rosenbaum, 2005. "Robust, accurate confidence intervals with a weak instrument: quarter of birth and education," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(1), pages 109-126.
  19. Jinyong Hahn & Jerry Hausman, 2003. "Weak Instruments: Diagnosis and Cures in Empirical Econometrics," American Economic Review, American Economic Association, vol. 93(2), pages 118-125, May.
  20. 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.
  21. Aigner, Dennis J. & Hsiao, Cheng & Kapteyn, Arie & Wansbeek, Tom, 1984. "Latent variable models in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 23, pages 1321-1393 Elsevier.
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