Journal article icon

Journal article

A more powerful subvector Anderson Rubin test in linear instrumental variable regression

Abstract:

We study subvector inference in the linear instrumental variables model assuming homoskedasticity but allowing for weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test, proposed by Guggenberger, Kleibergen, Mavroeidis, and Chen (2012), controls size but is generally conservative. We propose a conditional subvector Anderson and Rubin test that uses data‐dependent critical v...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed
Version:
Publisher's version

Actions


Access Document


Files:
Publisher copy:
10.3982/QE1116

Authors


Guggenberger, P More by this author
Kleibergen, F More by this author
More by this author
Institution:
University of Oxford
Division:
Social Sciences Division
Department:
Economics
Oxford college:
University College
ORCID:
0000-0002-8851-8044
More from this funder
Funding agency for:
Mavroeidis, S
Publisher:
Econometric Society Publisher's website
Journal:
Quantitative Economics Journal website
Volume:
10
Issue:
2
Pages:
487-526
Publication date:
2019-05-08
Acceptance date:
2018-10-03
DOI:
EISSN:
1759-7331
ISSN:
1759-7323
Pubs id:
pubs:930529
URN:
uri:779a9e04-da2d-4aa5-97d3-e72fa2136194
UUID:
uuid:779a9e04-da2d-4aa5-97d3-e72fa2136194
Local pid:
pubs:930529

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP