Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics

Journal of Econometrics

Volumn 139, Issue 1, 2007, Pages 181-216

  Kleibergen, Frank ^a,b  

^a BROWN UNIVERSITY   (United States)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

GMM; Likelihood ratio statistics; Rank reduction; Score or Lagrange multiplier statistics

Indexed keywords

LAGRANGE MULTIPLIERS; MATHEMATICAL MODELS; METHOD OF MOMENTS; PARAMETER ESTIMATION;

GMM; LIKELIHOOD RATIO STATISTICS; RANK REDUCTION; SCORE OR LAGRANGE MULTIPLIER STATISTICS;

STATISTICS;

EID: 34248588697     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.06.010     Document Type: Article

References (25)

1. Anderson T.W. Estimating linear restrictions on regression coefficients for multivariate normal distributions. Annals of Mathematical Statistics 22 (1951) 327-351
2. Anderson T.W., and Rubin H. Estimators of the parameters of a single equation in a complete set of stochastic equations. The Annals of Mathematical Statistics 21 (1949) 570-582
3. Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59 (1991) 817-858
4. Cragg J.C., and Donald S.G. On the asymptotic properties of LDU-based tests of the rank of a matrix. Journal of the American Statistical Association 91 (1996) 1301-1309
5. Cragg J.C., and Donald S.G. Inferring the rank of a matrix. Journal of Econometrics 76 (1997) 223-250
6. Dufour J.-M. Some impossibility theorems in econometrics with applications to structural and dynamic models. Econometrica 65 (1997) 1365-1388
7. Engle R.F. Wald, likelihood ratio, and Lagrange multiplier tests in econometrics. In: Griliches Z., and Intrilligator M.D. (Eds). Handbook of Econometrics vol. 2 (1984), North-Holland, Amsterdam 775-826
8. Gleser H.J., and Hwang J.T. The non-existence of 100 (1 - α) % confidence sets of finite expected diameter in errors-in-variables and related models. Annals of Statistics 15 (1987) 1351-1362
9. Golub G.H., and van Loan C.F. Matrix Computations (1989), Johns Hopkins University Press, Baltimore
10. Hahn J., and Hausman J. A new specification test for the validity of instrumental variables. Econometrica 70 (2002) 163-190
11. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
12. Hausman J.A. Specification and estimation of simultaneous equations systems. In: Griliches Z., and Intrilligator M.D. (Eds). Handbook of Econometrics vol. 1 (1983), North-Holland, Amsterdam 391-448
13. Hillier, G., 2006. Exact Critical Value and Power Functions for the Conditional Likelihood Ratio and Related Tests in the IV Regression Model with Known Covariance. Unpublished Manuscript, University of Southampton.
14. Hood, W.C., Koopmans, T.C., 1953. Studies in Econometric Method. Cowles Foundation Monograph, vol. 14. Wiley, New York.
15. Kleibergen F. Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica 70 (2002) 1781-1803
16. Kleibergen F. Testing parameters in GMM without assuming that they are identified. Econometrica 73 (2005) 1103-1124
17. Kleibergen, F., Paap, R., 2006. Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, forthcoming.
18. Moreira M.J. A conditional likelihood ratio test for structural models. Econometrica 71 (2003) 1027-1048
19. Nelson C.R., and Startz R. Some further results on the exact small sample properties of the instrumental variables estimator. Econometrica 58 (1990) 967-976
20. Newey W.K., and West K.D. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
21. Newey W.K., and West K.D. Hypothesis testing with efficient method of moments estimation. International Economic Review 28 (1987) 777-787
22. Robin J.-M., and Smith R.J. Tests of rank. Econometric Theory 16 (2000) 151-175
23. Staiger D., and Stock J.H. Instrumental variables regression with weak instruments. Econometrica 65 (1997) 557-586
24. Stock J.H., and Wright J.H. GMM with weak identification. Econometrica 68 (2000) 1055-1096
25. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48 (1980) 817-838