Performance of Conditional Wald Tests in IV Regression with Weak Instruments

By Donald W. K. Andrews, Marcelo J. Moreira, James H. Stock. 2007

123 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/7bc24bef70d44d76b69198b5dcedb98772aec307

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In Economics and Econometrics

Citations in the corpus

Confidence intervals for causal effects with invalid instruments by using two‐stage hard thresholding with voting (2016, unknown): “1 of Andrews et al. (2007)) and in high dimensional linear models (e.”
Controlling for endogeneity with instrumental variables in strategic management research (2008, background): “Moreira’s CLR (Moreira, 2003) has been argued to ‘be the test of choice in IV applications’ (Murray, 2006b: 28; see also Andrews et al., 2006, 2007).”
Segregation and the Quality of Government in a Cross-Section of Countries (2011, unknown): “[9] Andrews, Donald W.”
Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments (2008, methodology): “We use a formulation of the IV regression model in which the native parameters are transformed to polar coordinates following Hillier (1990) and Chamberlain (2007).”
Do better schools lead to more growth? Cognitive skills, economic outcomes, and causation (2012, unknown): “…(1977), but the results are hardly affected.29 While the confidence band of the conditional likelihood ratio test proposed by Moreira (2003) and Andrews et al. (2007) gets large at the upper end in this specification, difference from zero still reaches significance at the 10 % level.30 Because…”
Schooling, educational achievement, and the Latin American growth puzzle (2012, background): “In particular, the 95-percent confidence band of the conditional likelihood ratio test proposed by Andrews et al. (2007) and Moreira (2003) ranges from 1.450 to 2.596 for the column (5) estimate (1.358 to 2.751 for the column (6) estimate), which is significantly different from zero at the 1 percent”
Implementing Weak-Instrument Robust Tests for a General Class of Instrumental-Variables Models (2009, methodology): “For linear IV models under homoskedasticity, Andrews, Moreira, and Stock (2007) provide a formula for computing the p-value function of the CLR test (which is embedded in the condivreg command).”
Corruption is bad for growth (even in the United States) (2011, methodology): “We then estimate unbiased effects of corruption on growth and investment using both two-stage least squares (2SLS) and limited information maximum likelihood (LIML) methods along with the conditional likelihood ratio (CLR) test to control for weak instruments (Moreira 2003, Andrews et al. 2006, 2007”