dc.contributor | FGV | |
dc.creator | Mills, Benjamin | |
dc.creator | Moreira, Marcelo J. | |
dc.creator | Vilela, Lucas Pimentel | |
dc.date.accessioned | 2018-05-10T13:36:36Z | |
dc.date.accessioned | 2022-11-03T20:38:29Z | |
dc.date.available | 2018-05-10T13:36:36Z | |
dc.date.available | 2022-11-03T20:38:29Z | |
dc.date.created | 2018-05-10T13:36:36Z | |
dc.date.issued | 2014-10 | |
dc.identifier | 1359-8546 / 1758-6852 | |
dc.identifier | http://hdl.handle.net/10438/23405 | |
dc.identifier | 10.1016/j.jeconom.2014.03.012 | |
dc.identifier | 000340335400007 | |
dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5042155 | |
dc.description.abstract | This paper considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical and numerical work shows that the conditional 2SLS and Fuller t-tests perform well even when instruments are weakly correlated with the endogenous variable. When the population F-statistic is as small as two, their power is reasonably close to the power envelopes for similar and non-similar tests which are invariant to rotation transformations of the instruments. This finding is surprising considering the bad performance of two-sided conditional t-tests found in Andrews et al. (2007). We show these tests have bad power because the conditional null distributions of t-statistics are asymmetric when instruments are weak. Taking this asymmetry into account, we propose two-sided tests based on t-statistics. These novel tests are approximately unbiased and can perform as well as the conditional likelihood ratio (CLR) test. (C) 2014 Elsevier B.V. All rights reserved. | |
dc.language | eng | |
dc.publisher | Elsevier Science Sa | |
dc.relation | Journal of econometrics | |
dc.rights | restrictedAccess | |
dc.source | Web of Science | |
dc.subject | Instrumental variables regression | |
dc.subject | Invariant tests | |
dc.subject | Optimal tests | |
dc.subject | Similar tests | |
dc.subject | Unbiased tests | |
dc.subject | Weak instruments | |
dc.title | Tests based on t-statistics for IV regression with weak instruments | |
dc.type | Article (Journal/Review) | |