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Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

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Cited by:

  1. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  2. David S. Lee & Justin McCrary & Marcelo J. Moreira & Jack Porter, 2022. "Valid t-Ratio Inference for IV," American Economic Review, American Economic Association, vol. 112(10), pages 3260-3290, October.
  3. Guerron-Quintana, Pablo & Inoue, Atsushi & Kilian, Lutz, 2017. "Impulse response matching estimators for DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 144-155.
  4. Tetsuya Kaji, 2019. "Theory of Weak Identification in Semiparametric Models," Papers 1908.10478, arXiv.org, revised Aug 2020.
  5. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
  6. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
  7. Firmin Doko Tchatoka & Jean‐Marie Dufour, 2014. "Identification‐robust inference for endogeneity parameters in linear structural models," Econometrics Journal, Royal Economic Society, vol. 17(1), pages 165-187, February.
  8. Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
  9. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2554-2561, November.
  10. Chaudhuri, Saraswata & Zivot, Eric, 2011. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Journal of Econometrics, Elsevier, vol. 164(2), pages 239-251, October.
  11. Dufour, Jean-Marie, 2008. "Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms," UC3M Working papers. Economics we086027, Universidad Carlos III de Madrid. Departamento de Economía.
  12. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
  13. Luger, Richard, 2012. "Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3198-3211.
  14. Wang, Wenjie & Zhang, Yichong, 2024. "Wild bootstrap inference for instrumental variables regressions with weak and few clusters," Journal of Econometrics, Elsevier, vol. 241(1).
  15. Marcellino, Massimiliano & Kapetanios, George & Khalaf, Lynda, 2015. "Factor based identification-robust inference in IV regressions," CEPR Discussion Papers 10390, C.E.P.R. Discussion Papers.
  16. Anand Acharya & Lynda Khalaf & Marcel Voia & Myra Yazbeck & David Wensley, 2021. "Severity of Illness and the Duration of Intensive Care," Working Papers 2021-003, Human Capital and Economic Opportunity Working Group.
  17. Khalaf, Lynda & Schaller, Huntley, 2016. "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 165-177.
  18. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation for Research in Economics, Yale University.
  19. Aviv Nevo & Adam M. Rosen, 2012. "Identification With Imperfect Instruments," The Review of Economics and Statistics, MIT Press, vol. 94(3), pages 659-671, August.
  20. Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
  21. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Structural Inflation Models with Real Wage Rigidities: The Case of Canada," Staff Working Papers 09-21, Bank of Canada.
  22. Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel Voia, 2019. "Non-Standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Annals of Economics and Statistics, GENES, issue 134, pages 79-108.
  23. Joel L. Horowitz, 2017. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers CWP46/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  24. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  25. Hai‐Anh H. Dang & Trong‐Anh Trinh & Paolo Verme, 2023. "Do refugees with better mental health better integrate? Evidence from the Building a New Life in Australia longitudinal survey," Health Economics, John Wiley & Sons, Ltd., vol. 32(12), pages 2819-2835, December.
  26. Elise COUDIN, Jean-Marie DUFOUR, 2008. "Hodges-Lehmann Sign-based Estimators and Generalized Confidence Distributions in Linear Median Regressions with Moment-free Heterogenous Errors and Dependence of Unknown Form," Working Papers 2008-33, Center for Research in Economics and Statistics.
  27. Russell Davidson & James G. MacKinnon, 2014. "Confidence sets based on inverting Anderson–Rubin tests," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 39-58, June.
  28. Bolduc, Denis & Khalaf, Lynda & Yélou, Clément, 2010. "Identification robust confidence set methods for inference on parameter ratios with application to discrete choice models," Journal of Econometrics, Elsevier, vol. 157(2), pages 317-327, August.
  29. Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
  30. Khalaf, Lynda & Kichian, Maral, 2003. "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche 0312, GREEN.
  31. Himmler, Oliver & Koenig, Tobias, 2012. "Self-Evaluations and Performance: Evidence from Adolescence," Hannover Economic Papers (HEP) dp-507, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  32. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
  33. Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf & Abdallah Zalghout, 2020. "Identification-robust Inequality Analysis," CIRANO Working Papers 2020s-23, CIRANO.
  34. Doko Tchatoka, Firmin, 2011. "Testing for partial exogeneity with weak identification," MPRA Paper 39504, University Library of Munich, Germany, revised Mar 2012.
  35. Konstantinos Angelopoulos & George Economides, 2008. "Fiscal policy, rent seeking, and growth under electoral uncertainty: theory and evidence from the OECD," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(4), pages 1375-1405, November.
  36. Firmin Doko Tchatoka & Qazi Haque, 2024. "Revisiting the Macroeconomic Effects of Monetary Policy Shocks," The Economic Record, The Economic Society of Australia, vol. 100(329), pages 234-259, June.
  37. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2006. "Inflation dynamics and the New Keynesian Phillips Curve: An identification robust econometric analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1707-1727.
  38. Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  39. Elise Coudin & Jean-Marie Dufour, 2017. "Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogenous dependent errors," CIRANO Working Papers 2017s-06, CIRANO.
  40. Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall.
  41. Earnhart Dietrich & Harrington Donna Ramirez & Glicksman Robert, 2021. "The Effects of Enforcement on Corporate Environmental Performance: The Role of Perceived Fairness," Review of Law & Economics, De Gruyter, vol. 17(1), pages 71-118, March.
  42. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Econometrics 9905001, University Library of Munich, Germany.
  43. Daniel J. Lewis, 2022. "Robust Inference in Models Identified via Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 104(3), pages 510-524, May.
  44. Wenjie Wang & Yichong Zhang, 2021. "Wild Bootstrap for Instrumental Variables Regressions with Weak and Few Clusters," Papers 2108.13707, arXiv.org, revised Jan 2024.
  45. Juodis, Arturas & Sarafidis, Vasilis, 2020. "Online Supplement to An Incidental Parameters Free Inference Approach for Panels with Common Shocks," MPRA Paper 104908, University Library of Munich, Germany.
  46. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics.
  47. Frédéric Jouneau-Sion & Olivier Torrès, 2014. "In Fisher’s net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers 1422, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  48. Edilean Kleber da Silva Bejarano Aragón, 2021. "Specification errors, nonlinearities, and structural breaks in the Central Bank of Brazil’s reaction function," Empirical Economics, Springer, vol. 60(3), pages 1221-1243, March.
  49. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2532-2553, November.
  50. Bolduc, Denis & Khalaf, Lynda & Moyneur, Érick, 2008. "Identification-robust simulation-based inference in joint discrete/continuous models for energy markets," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3148-3161, February.
  51. Razvan Vlaicu & Alexander Whalley, 2011. "Do housing bubbles generate fiscal bubbles?," Public Choice, Springer, vol. 149(1), pages 89-108, October.
  52. Noud P.A. van Giersbergen, 2011. "Bootstrapping Subset Test Statistics in IV Regression," UvA-Econometrics Working Papers 11-08, Universiteit van Amsterdam, Dept. of Econometrics.
  53. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
  54. Bun, Maurice J.G. & Kleibergen, Frank, 2022. "Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
  55. Pablo Guerrón-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
  56. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
  57. Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles, 2023. "A test for Kronecker Product Structure covariance matrix," Journal of Econometrics, Elsevier, vol. 233(1), pages 88-112.
  58. Tuvaandorj, Purevdorj, 2020. "Regression discontinuity designs, white noise models, and minimax," Journal of Econometrics, Elsevier, vol. 218(2), pages 587-608.
  59. Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
  60. Caner, Mehmet, 2007. "Boundedly pivotal structural change tests in continuous updating GMM with strong, weak identification and completely unidentified cases," Journal of Econometrics, Elsevier, vol. 137(1), pages 28-67, March.
  61. Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020. "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," Cahiers de recherche 15-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  62. Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
  63. Bertille Antoine & Pascal Lavergne, 2020. "Identification-Robust Nonparametric Interference in a Linear IV Model," Discussion Papers dp20-03, Department of Economics, Simon Fraser University.
  64. Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
  65. Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
  66. Tchatoka, Firmin Doko, 2015. "Subset Hypotheses Testing And Instrument Exclusion In The Linear Iv Regression," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1192-1228, December.
  67. Hakan, Yilmazkuday, 2009. "Is there a Role for International Trade Costs in Explaining the Central Bank Behavior?," MPRA Paper 15951, University Library of Munich, Germany.
  68. Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Economics Series Working Papers 960, University of Oxford, Department of Economics.
  69. Frédéric Jouneau-Sion & Olivier Torrès, 2014. "In Fisher's net : exact F-tests in semi-parametric models with exchangeable errors," Working Papers halshs-01062623, HAL.
  70. Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
  71. Adrian Pagan, 2007. "Weak instruments (in Russian)," Quantile, Quantile, issue 2, pages 71-81, March.
  72. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.
  73. Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
  74. Mikusheva, Anna, 2010. "Robust confidence sets in the presence of weak instruments," Journal of Econometrics, Elsevier, vol. 157(2), pages 236-247, August.
  75. Doko Tchatoka, Firmin Sabro & Dufour, Jean-Marie, 2008. "Instrument endogeneity and identification-robust tests: some analytical results," MPRA Paper 29613, University Library of Munich, Germany.
  76. Firmin Doko Tchatoka & Wenjie Wang, 2015. "On Bootstrap Validity for Subset Anderson-Rubin Test in IV Regressions," School of Economics and Public Policy Working Papers 2015-01, University of Adelaide, School of Economics and Public Policy.
  77. Malte Londschien & Peter Buhlmann, 2024. "Weak-instrument-robust subvector inference in instrumental variables regression: A subvector Lagrange multiplier test and properties of subvector Anderson-Rubin confidence sets," Papers 2407.15256, arXiv.org, revised Nov 2024.
  78. Cuadros-Meñaca, Andres, 2020. "Remittances, health insurance, and pension contributions: Evidence from Colombia," World Development, Elsevier, vol. 127(C).
  79. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
  80. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
  81. Mikusheva, Anna, 2013. "Survey on statistical inferences in weakly-identified instrumental variable models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 117-131.
  82. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
  83. Asatryan, Zareh & Bittschi, Benjamin & Doerrenberg, Philipp, 2017. "Remittances and public finances: Evidence from oil-price shocks," Journal of Public Economics, Elsevier, vol. 155(C), pages 122-137.
  84. Joel L. Horowitz, 2017. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers 46/17, Institute for Fiscal Studies.
  85. Denis Bolduc & Lynda Khalaf & Clément Yélou, 2005. "Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time," Computing in Economics and Finance 2005 48, Society for Computational Economics.
  86. Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
  87. Joel L. Horowitz, 2018. "Non-Asymptotic Inference in Instrumental Variables Estimation," Papers 1809.03600, arXiv.org.
  88. Horowitz, Joel L., 2021. "Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models," Journal of Econometrics, Elsevier, vol. 222(2), pages 1057-1082.
  89. Firmin Doko Tchatoka & Lauren Slinger & Virginie Masson, 2020. "Revisiting empirical studies on the liquidity effect: An identication-robust approach," School of Economics and Public Policy Working Papers 2020-02, University of Adelaide, School of Economics and Public Policy.
  90. Joel L. Horowitz, 2018. "Non-asymptotic inference in instrumental variables estimation," CeMMAP working papers CWP52/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  91. Abderrahim Taamouti, 2021. "Covid‐19 Control and the Economy: Test, Test, Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1011-1028, October.
  92. Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
  93. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research.
  94. repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
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