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Finite and Large Sample Distribution-Free Inference in Median Regressions with Instrumental Variables

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  • Elise Coudin

    (Crest)

  • Jean-Marie Dufour

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  • Elise Coudin & Jean-Marie Dufour, 2010. "Finite and Large Sample Distribution-Free Inference in Median Regressions with Instrumental Variables," Working Papers 2010-56, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2010-56
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    File URL: http://crest.science/RePEc/wpstorage/2010-56.pdf
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    References listed on IDEAS

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    1. Andrews, Donald W.K. & Marmer, Vadim, 2008. "Exactly distribution-free inference in instrumental variables regression with possibly weak instruments," Journal of Econometrics, Elsevier, vol. 142(1), pages 183-200, January.
    2. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
    3. 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.
    4. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
    5. Chernozhukov, Victor & Hansen, Christian & Jansson, Michael, 2009. "Finite sample inference for quantile regression models," Journal of Econometrics, Elsevier, vol. 152(2), pages 93-103, October.
    6. Sakata, S., 1998. "Instrumental Variable Estimation Based on Mean Absolute Deviation," Papers 98-08, Michigan - Center for Research on Economic & Social Theory.
    7. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
    8. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
    9. Campbell, Bryan & Dufour, Jean-Marie, 1991. "Over-rejections in rational expectations models : A non-parametric approach to the Mankiw-Shapiro problem," Economics Letters, Elsevier, vol. 35(3), pages 285-290, March.
    10. Elise Coudin & Jean-Marie Dufour, 2009. "Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form," Econometrics Journal, Royal Economic Society, vol. 12(s1), pages 19-49, January.
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