Finite-sample instrumental variables inference using an asymptotically pivotal statistic

Econometric Theory

Volumn 19, Issue 5, 2003, Pages 744-753

  Bekker, Paul ^a   Kleibergen, Frank ^b  

^a UNIVERSITY OF GRONINGEN   (Netherlands)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142168841     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466603195023     Document Type: Article

References (8)

1. Andersen, T.W. & H. Rubin (1949) Estimators on the parameters of a single equation in a complete set of stochastic equations. Annals of Mathematical Statistics 21, 570-582.
2. Bekker, P.A. (1994) Alternative approximations to the distributions of instrumental variable estimators. Econometrica 62, 657-681.
3. Hausman, J. & J. Hahn (1999) A New Specification Test for the Validity of Instrumental Variables. Working paper, Massachusetts Institute of Technology.
4. Kleibergen, F. (2002) Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica 70, 1781-1803.
5. Nelson, C.R. & R. Startz (1990) Some further results on the exact small sample properties of the instrumental variables estimator. Econometrica 58, 967-976.
6. Sargan, J.D. & A. Bhargava (1983) Testing residuals from least squares regression for being generated by the Gaussian random walk. Econometrica 51, 153-174.
7. Staiger, D. & J.H. Stock (1997) Instrumental variables regression with weak instruments. Econometrica 65, 557-586.
8. Zivot, E., R. Startz, & C.R. Nelson (1998) Valid confidence intervals and inference in the presence of weak instruments. International Economic Review 39, 1119-1144.