کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097363 | 1376584 | 2007 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study a general family of Anderson-Rubin-type procedures, allowing for arbitrary collinearity among the instruments and endogenous variables. Using finite-sample distributional theory, we show that the proposed procedures, besides being robust to weak instruments, are also robust to the exclusion of relevant instruments and to the distribution of endogenous regressors. A solution to the problem of computing linear projections from general possibly singular quadric surfaces is derived and used to build finite-sample confidence sets for individual structural parameters. The importance of robustness to excluded instruments is studied by simulation. Applications to the trade-growth relationship and to education returns are presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 139, Issue 1, July 2007, Pages 133-153
Journal: Journal of Econometrics - Volume 139, Issue 1, July 2007, Pages 133-153
نویسندگان
Jean-Marie Dufour, Mohamed Taamouti,