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Valid Confidence Intervals and Inference in the Presence of Weak Instruments

Listed author(s):
  • Nelson, C.R.
  • Startz, R.
  • Zivot, E.

We investigate confidence intervals and inference for the instrumental variables model with weak instruments.

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Paper provided by Department of Economics at the University of Washington in its series Discussion Papers in Economics at the University of Washington with number 96-15.

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Length: 48 pages
Date of creation: 1996
Handle: RePEc:fth:washer:96-15
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Web page: http://www.econ.washington.edu/
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  1. Peter C.B. Phillips, 1982. "Exact Small Sample Theory in the Simultaneous Equations Model," Cowles Foundation Discussion Papers 621, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  3. D. Klepinger & S. Lundberg & R. Plotnick, "undated". "Instrument selection: The case of teenage childbearing and women's educational attainment," Institute for Research on Poverty Discussion Papers 1077-95, University of Wisconsin Institute for Research on Poverty.
  4. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-787, October.
  5. Shea, J., 1993. "Instrument Relevance in Linear Models: A Simple Measure," Working papers 9312, Wisconsin Madison - Social Systems.
  6. Wang, J. & Zivot, E., 1996. "Inference of a Structural Parameter in Intrumental Variables Regression with weak Instruments," Discussion Papers in Economics at the University of Washington 96-06, Department of Economics at the University of Washington.
  7. repec:fth:harver:1435 is not listed on IDEAS
  8. Maddala, G S, 1974. "Some Small Sample Evidence on Tests of Significance in Simultaneous Equations Models," Econometrica, Econometric Society, vol. 42(5), pages 841-851, September.
  9. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
  10. 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.
  11. Hall, Robert E, 1988. "Intertemporal Substitution in Consumption," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-357, April.
  12. 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.).
  13. J. Dufour, 1995. "Some Impossibility Theorems in Econometrics with Applications to Instrumental Variables, Dynamic Models and Cointegration," SFB 373 Discussion Papers 1995,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  14. Rotemberg, Julio J, 1984. "Interpreting the Statistical Failures of Some Rational Expectations Macroeconomic Models," American Economic Review, American Economic Association, vol. 74(2), pages 188-193, May.
  15. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
  16. Fuhrer, Jeffrey C. & Moore, George R. & Schuh, Scott D., 1995. "Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 115-157, February.
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