Specification testing in models with many instruments

Econometric Theory

Volumn 27, Issue 2, 2011, Pages 427-441

  Anatolyev, Stanislav ^a   Gospodinov, Nikolay ^b  

^a NEW ECONOMIC SCHOOL   (Russian Federation)

^b Civil and Environmental Engineering   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79957532810     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466610000307     Document Type: Article

References (16)

1. Andersen, T. G. & B. E. Sorensen (1996) GMM estimation of a stochastic volatility model: A Monte Carlo study. Journal of Business & Economic Statistics 14, 328-352.
2. Andrews, D. W. & J. H. Stock (2007) Testing with many weak instruments. Journal of Econometrics 138, 24-46. (Pubitemid 46452989)
3. Angrist, J. D. & A. B. Krueger (1991) Does compulsory school attendance affect schooling and earnings? Quarterly Journal of Economics 106, 979-1014.
4. Arellano, M. & S. Bond (1991) Some tests of specification for panel data: Monte Carlo evidence and an applications to employment equations. Review of Economic Studies 58, 277-297.
5. Bekker, P. A. (1994) Alternative approximations to the distributions of instrumental variable estimators. Econometrica 62, 657-681.
6. Burnside, C. & M. Eichenbaum (1996) Small-sample properties of GMM-based Wald tests. Journal of Business & Economic Statistics 14, 294-308.
7. Chao, J. & N. Swanson (2005) Consistent estimation with a large number of weak instruments. Econometrica 73, 1673-1692. (Pubitemid 41602768)
8. Donald, S. G., G. W. Imbens, & W. K. Newey (2003) Empirical likelihood estimation and consistent tests with conditional moment restrictions. Journal of Econometrics 117, 55-93.
9. Dufour, J. M. & M. Taamouti (2007) Further results on projection-based inference in IV regressions with weak, collinear or missing instruments. Journal of Econometrics 139, 133-153. (Pubitemid 46805029)
10. Hansen, C., J. Hausman, & W. K. Newey (2008) Estimation with many instrumental variables. Journal of Business & Economic Statistics 26, 398-422.
11. Kelejian, H. H. & I. R. Prucha (2001) On the asymptotic distribution of the Moran I test statistic with applications. Journal of Econometrics 104, 219-257. (Pubitemid 33645278)
12. Koenker, R. & J. A. F. Machado (1999) GMM inference when the number of moment conditions is large. Journal of Econometrics 93, 327-344. (Pubitemid 129586741)
13. Ledoit, O. & M. Wolf (2004) A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis 88, 365-411. (Pubitemid 38033261)
14. Newey, W. K. (2004) Many Instrument Asymptotics. Manuscript, MIT.
15. Peiser, A. M. (1943) Asymptotic formulas for significance levels of certain distributions. Annals of Mathematical Statistics 14, 56-62.
16. Silverstein, J. W. (1995) Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices. Journal of Multivariate Analysis 55, 331-339.