On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression

76 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, background): “…types of shrinkage estimators (e.g., Hansen, 2011), tests in autoregressive models that may contain a unit root (e.g., AG and Mikusheva, 2007), Vuoung tests for nonnested model selection (e.g., Shi, 2011) and subvector tests allowing for weak identification (e.g., Guggenberger et al., 2012).”
Generic results for establishing the asymptotic size of confidence sets and tests (2020, unknown): “…Chan and Wei (1987), Phillips (1987), Stock (1991), Park (2002), Giraitis 26 and Phillips (2006), Phillips and Magdalinos (2007), and Andrews and Guggenberger (2012); for weak identification due 27 to weak IV’s, Staiger and Stock (1997), Stock and Wright (2000), Moreira (2003), Kleibergen…”
OLS and IV estimation of regression models including endogenous interaction terms (2019, methodology): “Inference based on the subset AR statistics is actually somewhat conservative underH0, which is in line with the results of Guggenberger et al. (2012).”
Conditional Linear Combination Tests for Weakly Identified Models (2016, background): “In particular, Magnusson and Mavroeidis (2010) propose such a statistic for weakly identified generalized minimum distance models, while Ramalho and Smith (2004), Guggenberger and Smith (2005), Guggenberger and Smith (2008), and Guggenberger et al. (2012) discuss analogs of K for GEL models.”