Journal article
A ridge-regularised jacknifed Anderson-Rubin test
- Abstract:
-
We consider hypothesis testing in instrumental variable regression models with few included exogenous covariates but many instruments—possibly more than the number of observations. We show that a ridge-regularized version of the jackknifed Anderson and Rubin (henceforth AR) test controls asymptotic size in the presence of heteroscedasticity, and when the instruments may be arbitrarily weak. Asymptotic size control is established under weaker assumptions than those imposed for recently proposed jackknifed AR tests in the literature. Furthermore, ridge-regularization extends the scope of jackknifed AR tests to situations in which there are more instruments than observations. Monte Carlo simulations indicate that our method has favorable finite-sample size and power properties compared to recently proposed alternative approaches in the literature. An empirical application on the elasticity of substitution between immigrants and natives in the United States illustrates the usefulness of the proposed method for practitioners.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Version of record, pdf, 2.2MB, Terms of use)
-
- Publisher copy:
- 10.1080/07350015.2023.2290739
Authors
- Publisher:
- Taylor & Francis
- Journal:
- Journal of Business & Economic Statistics More from this journal
- Volume:
- 42
- Issue:
- 3
- Pages:
- 1083-1094
- Publication date:
- 2024-01-05
- Acceptance date:
- 2023-12-05
- DOI:
- EISSN:
-
1537-2707
- ISSN:
-
0735-0015
- Language:
-
English
- Keywords:
- Pubs id:
-
2309993
- Local pid:
-
pubs:2309993
- Deposit date:
-
2025-11-06
- ARK identifier:
Terms of use
- Copyright holder:
- Dovì et al
- Copyright date:
- 2024
- Rights statement:
- © 2024 The Authors. Published with license by Taylor & Francis Group, LLC.This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution,and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository bythe author(s) or with their consent.
- Licence:
- CC Attribution (CC BY)
If you are the owner of this record, you can report an update to it here: Report update to this record