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

Artikel

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 datadependent critical values that adapt to the strength of identification of the parameters not under test. This test has correct size and strictly higher power than the subvector Anderson and Rubin test by Guggenberger et al. (2012). We provide tables with conditional critical values so that the new test is quick and easy to use. Application of our method to a model of risk preferences in development economics shows that it can strengthen empirical conclusions in practice.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 10 ; Year: 2019 ; Issue: 2 ; Pages: 487-526 ; New Haven, CT: The Econometric Society

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation
• Thema: Asymptotic size ; linear IV regression ; subvector inference ; weak instruments

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Guggenberger, Patrik ; Kleibergen, Frank ; Mavroeidis, Sophocles
• Ereignis: Veröffentlichung
• (wer): The Econometric Society
• (wo): New Haven, CT
• (wann): 2019

Weitere Informationen

• DOI: doi:10.3982/QE1116
• Handle: http://hdl.handle.net/10419/217149
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ