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A powerful subvector anderson rubin test in linear instrumental variables regression with conditional heteroskedasticity

Abstract:

We introduce a new test for a two-sided hypothesis involving a subset of the structural parameter vector in the linear instrumental variables (IVs) model. Guggenberger et al. (2019), GKM19 from now on, introduce a subvector Anderson-Rubin (AR) test with data-dependent critical values that has asymptotic size equal to nominal size for a parameter space that allows for arbitrary strength or weakness of the IVs and has uniformly nonsmaller power than the projected AR test studied in Guggenberger...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1017/S0266466622000627

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Role:
Author
ORCID:
0000-0002-8851-8044
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Name:
European Commission
Grant:
647152
Publisher:
Cambridge University Press
Journal:
Econometric Theory More from this journal
Publication date:
2023-04-14
Acceptance date:
2022-10-26
DOI:
EISSN:
1469-4360
ISSN:
0266-4666
Language:
English
Keywords:
Pubs id:
1288165
Local pid:
pubs:1288165
Deposit date:
2022-11-01

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