메뉴 건너뛰기




Volumn , Issue , 2016, Pages 29-70

Efficient inference with poor instruments: A general framework

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84988228383     PISSN: None     EISSN: None     Source Type: Book    
DOI: None     Document Type: Chapter
Times cited : (3)

References (32)
  • 1
    • 0001874562 scopus 로고
    • Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity
    • Andrews, D. W. K. 1994. Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity, Econometrica 62: 43-72.
    • (1994) Econometrica , vol.62 , pp. 43-72
    • Andrews, D.W.K.1
  • 2
    • 51449084171 scopus 로고    scopus 로고
    • Inference with Weak Instruments
    • ch. 8 in Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, Cambridge, U.K.: Cambridge University Press
    • Andrews, D. W. K., and J.H. Stock. 2007. Inference with Weak Instruments. Econometric Society Monograph Series, vol. 3, ch. 8 in Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, Cambridge, U.K.: Cambridge University Press.
    • (2007) Econometric Society Monograph Series , vol.3
    • Andrews, D.W.K.1    Stock, J.H.2
  • 3
    • 0001055752 scopus 로고
    • Does Compulsory School Attendance Affect Schooling and Earnings
    • Angrist, J. D., and A. B. Krueger. 1991. Does Compulsory School Attendance Affect Schooling and Earnings? Quarterly Journal of Economics 106: 979-1014.
    • (1991) Quarterly Journal of Economics , vol.106 , pp. 979-1014
    • Angrist, J.D.1    Krueger, A.B.2
  • 4
    • 34247326114 scopus 로고    scopus 로고
    • On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood
    • Antoine, B., H. Bonnal, and E. Renault. 2007. On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood. Journal of Econometrics 138(2): 461-487.
    • (2007) Journal of Econometrics , vol.138 , Issue.2 , pp. 461-487
    • Antoine, B.1    Bonnal, H.2    Renault, E.3
  • 5
    • 67650677064 scopus 로고    scopus 로고
    • Efficient GMM with Nearly-Weak Instruments
    • Antoine, B., and E. Renault. 2009. Efficient GMM with Nearly-Weak Instruments. Econometric Journal 12:135-171.
    • (2009) Econometric Journal , vol.12 , pp. 135-171
    • Antoine, B.1    Renault, E.2
  • 6
    • 79952443259 scopus 로고    scopus 로고
    • Efficient Minimum Distance Estimation with Multiple Rates of Convergence
    • forthcoming
    • Antoine, B., and E. Renault. 2010a. Efficient Minimum Distance Estimation with Multiple Rates of Convergence. Journal of Econometrics, forthcoming.
    • (2010) Journal of Econometrics
    • Antoine, B.1    Renault, E.2
  • 7
    • 85052170804 scopus 로고    scopus 로고
    • Specification Tests for Strong Identification
    • UNC-CH
    • Antoine, B., and E. Renault. 2010b. Specification Tests for Strong Identification. Working Paper, UNC-CH.
    • (2010) Working Paper
    • Antoine, B.1    Renault, E.2
  • 8
    • 77950992333 scopus 로고    scopus 로고
    • Testing, Estimation in GMM and CUE with Nearly-Weak Identification
    • Caner, M. 2010. Testing, Estimation in GMM and CUE with Nearly-Weak Identification. Econometric Reviews, 29(3): 330-363.
    • (2010) Econometric Reviews , vol.29 , Issue.3 , pp. 330-363
    • Caner, M.1
  • 9
    • 38249014082 scopus 로고
    • Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations
    • Choi, I., and P. C. B. Phillips. 1992. Asymptotic and Finite Sample Distribution Theory for IV Estimators and Tests in Partially Identified Structural Equations. Journal of Econometrics 51:113-150.
    • (1992) Journal of Econometrics , vol.51 , pp. 113-150
    • Choi, I.1    Phillips, P.C.B.2
  • 10
    • 84935429666 scopus 로고
    • Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
    • Epstein, L. G., and S. E. Zin. 1991. Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis. Journal of Political Economy 99(2): 263-286.
    • (1991) Journal of Political Economy , vol.99 , Issue.2 , pp. 263-286
    • Epstein, L.G.1    Zin, S.E.2
  • 11
    • 77950517368 scopus 로고    scopus 로고
    • The Hausman Test and Weak Instruments
    • USC
    • Hahn, J., J. Ham, and H. R. Moon. 2009. The Hausman Test and Weak Instruments. Working Paper, USC.
    • (2009) Working Paper
    • Hahn, J.1    Ham, J.2    Moon, H.R.3
  • 12
    • 0036220263 scopus 로고    scopus 로고
    • A new Specification Test for the Validity of Instrumental Variables
    • Hahn, J., and J. Hausman. 2002. A new Specification Test for the Validity of Instrumental Variables. Econometrica 70(1): 163-190.
    • (2002) Econometrica , vol.70 , Issue.1 , pp. 163-190
    • Hahn, J.1    Hausman, J.2
  • 13
    • 0036012240 scopus 로고    scopus 로고
    • Discontinuities of Weak Instruments Limiting Distributions
    • Hahn, J., and G. Kuersteiner. 2002. Discontinuities of Weak Instruments Limiting Distributions. Economics Letters 75: 325-331.
    • (2002) Economics Letters , vol.75 , pp. 325-331
    • Hahn, J.1    Kuersteiner, G.2
  • 14
    • 33645030504 scopus 로고    scopus 로고
    • GMM with Many Moment Conditions
    • Han, C., and P. C. B. Phillips. 2006. GMM with Many Moment Conditions. Econometrica 74(1): 147-192.
    • (2006) Econometrica , vol.74 , Issue.1 , pp. 147-192
    • Han, C.1    Phillips, P.C.B.2
  • 16
    • 0000414660 scopus 로고
    • Large Sample Properties of Generalized Method of Moments Estimators
    • Hansen, L. P. 1982. Large Sample Properties of Generalized Method of Moments Estimators. Econometrica 50(4): 1029-1054.
    • (1982) Econometrica , vol.50 , Issue.4 , pp. 1029-1054
    • Hansen, L.P.1
  • 18
    • 0000714094 scopus 로고
    • Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    • Hansen, L. P., and R. J. Hodrick. 1980. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy 88: 829-853.
    • (1980) Journal of Political Economy , vol.88 , pp. 829-853
    • Hansen, L.P.1    Hodrick, R.J.2
  • 19
    • 85017108575 scopus 로고
    • Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    • Hansen, L. P., and K. J. Singleton. 1982. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models. Econometrica 50:1269-1286.
    • (1982) Econometrica , vol.50 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.J.2
  • 20
    • 0004151494 scopus 로고
    • Cambridge, U.K.: Cambridge University Press
    • Horn, R. A., and C. R. Johnson. 1985. Matrix Analysis. Cambridge, U.K.: Cambridge University Press.
    • (1985) Matrix Analysis
    • Horn, R.A.1    Johnson, C.R.2
  • 21
    • 22544477160 scopus 로고    scopus 로고
    • Testing Parameters in GMM without Assuming that They Are Identified
    • Kleibergen, F. 2005. Testing Parameters in GMM without Assuming that They Are Identified. Econometrica 73:1103-1123.
    • (2005) Econometrica , vol.73 , pp. 1103-1123
    • Kleibergen, F.1
  • 22
    • 0000133467 scopus 로고
    • The Asymptotic Variance of Semiparametric Estimators
    • Newey, W. K. 1994. The Asymptotic Variance of Semiparametric Estimators. Econometrica 62:1349-1382.
    • (1994) Econometrica , vol.62 , pp. 1349-1382
    • Newey, W.K.1
  • 23
    • 1642369685 scopus 로고    scopus 로고
    • Higher-Order Properties of GMM and Generalized Empirical Likelihood Estimators
    • Newey, W. K., and R. J. Smith. 2004. Higher-Order Properties of GMM and Generalized Empirical Likelihood Estimators. Econometrica 72: 219-255.
    • (2004) Econometrica , vol.72 , pp. 219-255
    • Newey, W.K.1    Smith, R.J.2
  • 24
    • 0001751260 scopus 로고
    • Hypothesis Testing with Efficient Method of Moments Estimation
    • Newey, W. K., and K. D. West. 1987. Hypothesis Testing with Efficient Method of Moments Estimation. International Economic Review 28: 777-787.
    • (1987) International Economic Review , vol.28 , pp. 777-787
    • Newey, W.K.1    West, K.D.2
  • 25
    • 65949122959 scopus 로고    scopus 로고
    • GMM with Many Weak Moment Conditions
    • Newey, W. K., and F. Windmeijer. 2009. GMM with Many Weak Moment Conditions. Econometrica 77: 687-719.
    • (2009) Econometrica , vol.77 , pp. 687-719
    • Newey, W.K.1    Windmeijer, F.2
  • 26
    • 0001331135 scopus 로고
    • Simulation and the Asymptotics of Optimization Estimators
    • Pakes, A., and D. Pollard. 1989. Simulation and the Asymptotics of Optimization Estimators. Econometrica 57(5): 1027-1057.
    • (1989) Econometrica , vol.57 , Issue.5 , pp. 1027-1057
    • Pakes, A.1    Pollard, D.2
  • 27
    • 84974291840 scopus 로고
    • Partially Identified Econometric Models
    • Phillips, P. C. B. 1989. Partially Identified Econometric Models. Econometric Theory 5: 181-240.
    • (1989) Econometric Theory , vol.5 , pp. 181-240
    • Phillips, P.C.B.1
  • 28
    • 0000630946 scopus 로고
    • Identification and Lack of Identification
    • Sargan, J. D. 1983. Identification and Lack of Identification. Econometrica 51(6): 1605-1634.
    • (1983) Econometrica , vol.51 , Issue.6 , pp. 1605-1634
    • Sargan, J.D.1
  • 29
    • 84924184362 scopus 로고    scopus 로고
    • WeakInstruments and Empirical Likelihood: A discussion of the Papers by D. W. K. Andrews and J. H. Stock and Y. Kitamura
    • ch. 8 in Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, Cambridge, U.K.: Cambridge University Press
    • Smith, R. J. 2007. WeakInstruments and Empirical Likelihood: A discussion of the Papers by D. W. K. Andrews and J. H. Stock and Y. Kitamura. Econometric Society Monograph Series, vol. 3, ch. 8 in Advances in Economics and Econometrics, Theory and Applications: Ninth World Congress of the Econometric Society, pp. 238-260, Cambridge, U.K.: Cambridge University Press.
    • (2007) Econometric Society Monograph Series , vol.3 , pp. 238-260
    • Smith, R.J.1
  • 30
    • 0346307687 scopus 로고    scopus 로고
    • Instrumental Variables Regression with Weak instruments
    • Staiger, D., and J. Stock. 1997. Instrumental Variables Regression with Weak instruments. Econometrica 65: 557-586.
    • (1997) Econometrica , vol.65 , pp. 557-586
    • Staiger, D.1    Stock, J.2
  • 31
    • 0000328019 scopus 로고    scopus 로고
    • GMM with Weak Identification
    • Stock, J. H., and J. H. Wright. 2000. GMM with Weak Identification. Econometrica 68(5): 1055-1096.
    • (2000) Econometrica , vol.68 , Issue.5 , pp. 1055-1096
    • Stock, J.H.1    Wright, J.H.2
  • 32
    • 0036790491 scopus 로고    scopus 로고
    • A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
    • Stock, J. H., J. H. Wright, and M. Yogo. 2002. A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments. Journal of Business and Economic Statistics 20: 518-529.
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 518-529
    • Stock, J.H.1    Wright, J.H.2    Yogo, M.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.