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Higher Order Expansions in the Weak Instrument Case

Author

Listed:
  • Gustavo Suarez
  • Marcelo J. Moreira
  • Jack R. Porter

Abstract

We provide an argument for the limitation of Edgeworth expansions to many commonly used statistics in the weak instrument framework. However, we show that Edgeworth expansions hold for approximately similar tests regardless of the identification conditions. Finally, we consider simulation techniques to adjust the size of these tests.

Suggested Citation

  • Gustavo Suarez & Marcelo J. Moreira & Jack R. Porter, 2004. "Higher Order Expansions in the Weak Instrument Case," Econometric Society 2004 North American Winter Meetings 638, Econometric Society.
    • Handle: RePEc:ecm:nawm04:638
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    More about this item

    Keywords

    weak instruments; edgeworth expansions;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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