Optimal Invariant Similar Tests for Instrumental Variables Regression

By Donald W. K. Andrews, Marcelo J. Moreira, James H. Stock. 2004

77 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/119d25c9ce0c0772445536dd7d679c7fdc61d702

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In Management Science and Operations Research

In Statistics and Probability

Citations in the corpus

The reduced form: A simple approach to inference with weak instruments (2008, background): “…equals the number of right hand side endogenous variables in the majority of IV studies; and in this case, the approaches of Stock and Wright (2000), Moreira (2003), and Kleibergen (2002) are equivalent and share the optimality properties discussed in Andrews, Moreira, and Stock (2004b).”
Further results on projection-based inference in IV regressions with weak, collinear or missing instruments ∗ (2007, unknown): “... Zivot (1999), Perron (1999), Chao and Swanson (2000), Stock and Wright (2000), Dufour and Jasiak (2001), Hahn and Hausman (2002a, 2002b), Hahn, Hausman and Kuersteiner (2001), Kleibergen (2002, 2004, 2005), Moreira (2001, 2003a, 2003b), Moreira and Poi (2001), Stock and Yogo (2002, 2003), Stock,”
Weak Identification in Fuzzy Regression Discontinuity Designs (2016, methodology): “…values can be generated using the approach of Moreira (2001, 2003) by conditioning on a statistic that is (i) asymptotically independent of Yn − β Xn, and (ii) summarizes the information on the strength of identification (see also Andrews, Moreira, and Stock 2006; Mills, Moreira, and Vilela 2014).”
THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST (2009, background): “It is also shown that, asymptotically, the conditional size of the two-stage test, conditional on the Hausman pretest not rejecting the null hypothesis of exogeneity, equals 1 or is close to 1 in empirically relevant scenarios. Therefore, whenever one attempts to improve the power properties of the ”
Tests and Confidence Sets with Correct Size when Instruments are Potentially Weak (2006, background): “For definitions of these two types of asymptotics, see Andrews, Moreira, and Stock (2004).”
Performance of Conditional Wald Tests in IV Regression with Weak Instruments (2007, methodology): “been examined in detail in Andrews, Moreira, and Stock (2004) (hereafter, AMS),”
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION (2011, unknown): “Moreira’s (2003) CLR test is shown to have near optimal power properties, see Andrews, Moreira, and Stock (2006) .”
On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression (2012, methodology): “In linear IV, it is, for expository purposes, common to analyze the case of fixed instruments, normal errors, and a known covariance matrix; see, for example, Moreira (2003, 2009) and Andrews, Moreira, and Stock (2006).”