Robust inference in models identified via heteroskedasticity
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Daniel J. Lewis, 2022. "Robust Inference in Models Identified via Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 104(3), pages 510-524, May.
References listed on IDEAS
- Usman Khalid, 2017. "The effect of trade and political institutions on economic institutions," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 26(1), pages 89-110, January.
- Nina Boyarchenko & Valentin Haddad & Matthew Plosser, 2016.
"The Federal Reserve and market confidence,"
Staff Reports
773, Federal Reserve Bank of New York.
- Nina Boyarchenko & Matthew Plosser & Valentin Haddad, 2018. "Federal Reserve and Market Confidence," 2018 Meeting Papers 781, Society for Economic Dynamics.
- Jean-Marie Dufour & Mohamed Taamouti, 2005.
"Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments,"
Econometrica, Econometric Society, vol. 73(4), pages 1351-1365, July.
- DUFOUR, Jean-Marie & TAAMOUTI, Mohamed, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Cahiers de recherche 2003-10, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Mohamed Taamouti, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," CIRANO Working Papers 2003s-39, CIRANO.
- DUFOUR, Jean-Marie & TAAMOUTI, Mohamed, 2003. "Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments," Cahiers de recherche 08-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Daniel L. Millimet & Jayjit Roy, 2016. "Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulation is Endogenous," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 652-677, June.
- Benjamin Hébert & Jesse Schreger, 2017.
"The Costs of Sovereign Default: Evidence from Argentina,"
American Economic Review, American Economic Association, vol. 107(10), pages 3119-3145, October.
- Benjamin Hebert & Jesse Schreger, 2014. "The Costs of Sovereign Default: Evidence from Argentina," Working Paper 223706, Harvard University OpenScholar.
- Hebert, Benjamin & Schreger, Jesse, 2016. "The Costs of Sovereign Default: Evidence from Argentina," Research Papers 3456, Stanford University, Graduate School of Business.
- Jesse Schreger, 2015. "The Costs of Sovereign Default: Evidence from Argentina," 2015 Meeting Papers 240, Society for Economic Dynamics.
- Benjamin Hébert & Jesse Schreger, 2014. "The Costs of Sovereign Default: Evidence from Argentina," Working Paper 223701, Harvard University OpenScholar.
- Benjamin Hébert & Jesse Schreger, 2016. "The Costs of Sovereign Default: Evidence from Argentina," NBER Working Papers 22270, National Bureau of Economic Research, Inc.
- Saraswata Chaudhuri & Thomas Richardson & James Robins & Eric Zivot, 2007. "Split-Sample Score Tests in Linear Instrumental Variables Regression," Working Papers UWEC-2007-10, University of Washington, Department of Economics.
- Emi Nakamura & Jón Steinsson, 2018.
"High-Frequency Identification of Monetary Non-Neutrality: The Information Effect,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
- Emi Nakamura & Jón Steinsson, 2013. "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers 19260, National Bureau of Economic Research, Inc.
- Roberto Rigobon & Brian Sack, 2003.
"Measuring The Reaction of Monetary Policy to the Stock Market,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(2), pages 639-669.
- Roberto Rigobon & Brian P. Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series 2001-14, Board of Governors of the Federal Reserve System (U.S.).
- Roberto Rigobon & Brian Sack, 2001. "Measuring the Reaction of Monetary Policy to the Stock Market," NBER Working Papers 8350, National Bureau of Economic Research, Inc.
- Asadul Islam & Faridul Islam & Chau Nguyen, 2017.
"Skilled Immigration, Innovation, and the Wages of Native-Born Americans,"
Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 56(3), pages 459-488, July.
- Asadul Islam & Faridul Islam & Chau Nguyen, 2013. "Skilled Immigration, Innovation and Wages of Native-born American," Monash Economics Working Papers 10-13, Monash University, Department of Economics.
- 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 518-529, October.
- Douglas O. Staiger & James H. Stock & Mark W. Watson, 1997.
"How Precise Are Estimates of the Natural Rate of Unemployment?,"
NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 195-246,
National Bureau of Economic Research, Inc.
- Douglas Staiger & James H. Stock & Mark W. Watson, 1996. "How Precise are Estimates of the Natural Rate of Unemployment?," NBER Working Papers 5477, National Bureau of Economic Research, Inc.
- Robert C. Feenstra & David E. Weinstein, 2017.
"Globalization, Markups, and US Welfare,"
Journal of Political Economy, University of Chicago Press, vol. 125(4), pages 1040-1074.
- Robert C. Feenstra & David E. Weinstein, 2010. "Globalization, Markups and U.S. Welfare," NBER Working Papers 15749, National Bureau of Economic Research, Inc.
- Xun Gong & Shenggang Yang & Min Zhang, 2017. "Not Only Health: Environmental Pollution Disasters and Political Trust," Sustainability, MDPI, vol. 9(4), pages 1-28, April.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Sentana, Enrique & Fiorentini, Gabriele, 2001.
"Identification, estimation and testing of conditionally heteroskedastic factor models,"
Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
- Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Identification, estimation and testing of conditionally heteroskedastic factor models," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Chaudhuri, Saraswata & Zivot, Eric, 2011.
"A new method of projection-based inference in GMM with weakly identified nuisance parameters,"
Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
- Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics.
- Ehrmann, Michael & Fratzscher, Marcel, 2017. "Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 26-44.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2014.
"Identification Using Stability Restrictions,"
Econometrica, Econometric Society, vol. 82(5), pages 1799-1851, September.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2014. "Identification Using Stability Restrictions," Econometrica, Econometric Society, vol. 82, pages 1799-1851, September.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2011. "Identification Using Stability Restrictions," Working Papers 1116, Tulane University, Department of Economics.
- Barry Eichengreen & Ugo Panizza, 2016.
"A surplus of ambition: can Europe rely on large primary surpluses to solve its debt problem?,"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 31(85), pages 5-49.
- Barry Eichengreen & Ugo Panizza, 2014. "A Surplus of Ambition: Can Europe Rely on Large Primary Surpluses to Solve its Debt Problem?," NBER Working Papers 20316, National Bureau of Economic Research, Inc.
- Eichengreen, Barry & Panizza, Ugo, 2014. "A Surplus of Ambition: Can Europe Rely on Large Primary Surpluses to Solve its Debt Problem?," CEPR Discussion Papers 10069, C.E.P.R. Discussion Papers.
- Frank Kleibergen, 2005.
"Testing Parameters in GMM Without Assuming that They Are Identified,"
Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, July.
- Frank Kleibergen, 2001. "Testing Parameters in GMM without Assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute.
- Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May.
- Jahn, Elke & Weber, Enzo, 2016.
"Identifying The Substitution Effect Of Temporary Agency Employment,"
Macroeconomic Dynamics, Cambridge University Press, vol. 20(5), pages 1264-1281, July.
- Jahn, Elke J. & Weber, Enzo, 2012. "Identifying the Substitution Effect of Temporary Agency Employment," IZA Discussion Papers 6471, Institute of Labor Economics (IZA).
- Jahn, Elke & Weber, Enzo, 2012. "Identifying the Substitution Effect of Temporary Agency Employment," University of Regensburg Working Papers in Business, Economics and Management Information Systems 463, University of Regensburg, Department of Economics.
- Andrews,Donald W. K. & Stock,James H. (ed.), 2005. "Identification and Inference for Econometric Models," Cambridge Books, Cambridge University Press, number 9780521844413, September.
- Roger Klein & Francis Vella, 2009. "Estimating the Return to Endogenous Schooling Decisions via Conditional Second Moments," Journal of Human Resources, University of Wisconsin Press, vol. 44(4).
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Chaudhuri, Saraswata & Richardson, Thomas & Robins, James & Zivot, Eric, 2010. "A New Projection-Type Split-Sample Score Test In Linear Instrumental Variables Regression," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1820-1837, December.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.
- 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.
- Bastian Mönkediek & Hilde A.J. Bras, 2016. "The Interplay of Family Systems, Social Networks and Fertility in Europe Cohorts Born Between 1920 and 1960," Economic History of Developing Regions, Taylor & Francis Journals, vol. 31(1), pages 136-166, March.
- Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
- Isaiah Andrews, 2016. "Conditional Linear Combination Tests for Weakly Identified Models," Econometrica, Econometric Society, vol. 84, pages 2155-2182, November.
- Roberto Rigobon & Dani Rodrik, 2005. "Rule of law, democracy, openness, and income," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(3), pages 533-564, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Guzman, Jorge & Liu, Yupeng, 2019. "Short Term Credit Costs and U.S. Entrepreneurship," SocArXiv ap978, Center for Open Science.
- Ruben Hipp, 2020. "On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity," Staff Working Papers 20-42, Bank of Canada.
- Jarociński, Marek, 2024.
"Estimating the Fed’s unconventional policy shocks,"
Journal of Monetary Economics, Elsevier, vol. 144(C).
- Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
- Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2024.
"Blended identification in structural VARs,"
Journal of Monetary Economics, Elsevier, vol. 146(C).
- Carriero, Andrea & Marcellino, Massimiliano & Tornese, Tommaso, 2022. "Blended Identification in Structural VARs," CEPR Discussion Papers 17640, C.E.P.R. Discussion Papers.
- Andrea Carriero & Massimiliano Marcellino & Tommaso Tornese, 2023. "Blended Identification in Structural VARs," BAFFI CAREFIN Working Papers 23200, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Marc Burri & Daniel Kaufmann, 2024. "Multi-dimensional monetary policy shocks based on heteroscedasticity," IRENE Working Papers 24-03, IRENE Institute of Economic Research.
- Yang, Yang & Tang, Yanling & Cheng, Kai, 2023. "Spillback effects of US unconventional monetary policy," Finance Research Letters, Elsevier, vol. 53(C).
- Emiliano A. Carlevaro & Leandro M. Magnusson, 2020. "The (in)stability of stock returns and monetary policy interdependence in the US," Economics Discussion / Working Papers 20-27, The University of Western Australia, Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
- repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Tchatoka, Firmin Doko, 2015.
"Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression,"
Econometric Theory, Cambridge University Press, vol. 31(6), pages 1192-1228, December.
- Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
- Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, Tasmanian School of Business and Economics.
- Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Antoine, Bertille & Lavergne, Pascal, 2023.
"Identification-robust nonparametric inference in a linear IV model,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
- Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Noud P.A. van Giersbergen, 2011. "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers 11-08, Universiteit van Amsterdam, Dept. of Econometrics.
- Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
- Daniel J Lewis, 2021.
"Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing],"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
- Daniel J. Lewis, 2018. "Identifying shocks via time-varying volatility," Staff Reports 871, Federal Reserve Bank of New York.
- Chaudhuri, Saraswata & Zivot, Eric, 2011.
"A new method of projection-based inference in GMM with weakly identified nuisance parameters,"
Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
- Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics.
- Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 117-131.
- Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
- Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019.
"Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data,"
Annals of Economics and Statistics, GENES, issue 134, pages 79-108.
- Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel-Cristian Voia, 2017. "Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Carleton Economic Papers 17-05, Carleton University, Department of Economics.
- Jean Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019. "Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Post-Print hal-03549991, HAL.
- Donald W. K. Andrews & Patrik Guggenberger, 2015.
"Identification- and Singularity-Robust Inference for Moment Condition,"
Cowles Foundation Discussion Papers
1978R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2019.
- Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews & Patrik Guggenberger, 2015. "Identification- and Singularity-Robust Inference for Moment Condition," Cowles Foundation Discussion Papers 1978R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2018.
- Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
- Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
- Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2554-2561, November.
- Russell Davidson & James G. MacKinnon, 2014.
"Confidence sets based on inverting Anderson–Rubin tests,"
Econometrics Journal, Royal Economic Society, vol. 17(2), pages 39-58, June.
- James G. MacKinnon & Russell Davidson, 2011. "Confidence Sets Based On Inverting Anderson-rubin Tests," Working Paper 1257, Economics Department, Queen's University.
- Russell Davidson & James G. Mackinnon, 2014. "Confidence Sets Based on Inverting Anderson-Rubin Tests," Post-Print hal-01463107, HAL.
- Aragón, Edilean Kleber da Silva Bejarano & Galvão, Ana Beatriz, 2023. "Shock-based inference on the Phillips curve with the cost channel," Economic Modelling, Elsevier, vol. 126(C).
More about this item
Keywords
heteroskedasticity; pretesting; weak identification; monetary policy; robust inference; impulse response functions;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-01-07 (Econometrics)
- NEP-ETS-2019-01-07 (Econometric Time Series)
- NEP-MAC-2019-01-07 (Macroeconomics)
- NEP-ORE-2019-01-07 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednsr:876. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.