ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION

By Patrik Guggenberger. Econometric Theory, 2011

69 citations recorded by the source corpus.

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ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP (2009, methodology): “Assumption B holds in a wide variety of examples of interest, see below and Andrews and Guggenberger (2005, 2009a, 2009b).”
Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments (2013, background): “More recent papers include Berkowitz, Caner, and Fang (2012), Conley, Hansen, and Rossi (2012), Doko Tchatoka and Dufour (2012), Guggenberger (2012), Nevo and Rosen (2012), and DiTraglia (2012), among others.”
Sensitivity analysis using approximate moment condition models (2018, unknown): “…has been used in a number of papers, which include, among others, Newey (1985), Berkowitz, Caner, and Fang (2012), Conley, Hansen, and Rossi (2012), Guggenberger (2012), and Bugni and Ura (2019), and has antecedents in the literature on robust statistics (see Huber and Ronchetti (2009), and…”
The validity of instruments revisited (2012, unknown): “a recent paper by Guggenberger (2009) , which analyzes various identification robust tests”
Minimizing Sensitivity to Model Misspecification (2018, methodology): “Indeed, it follows from (34) that h 0 −1 lim (y, x, z, β) = (y − x 0β) [Πz] [ΠΣZ Π0] c.”