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Further results on projection-based inference in IV regressions with weak, collinear or missing instruments
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Cited by:
- Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Galbraith, John W. & Zinde-Walsh, Victoria, 2020. "Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects," Journal of Econometrics, Elsevier, vol. 218(2), pages 609-632.
- 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.
- Doko Tchatoka, Firmin Sabro, 2012.
"Specification Tests with Weak and Invalid Instruments,"
MPRA Paper
40185, University Library of Munich, Germany.
- Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
- Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, Tasmanian School of Business and Economics, revised 26 Jun 2012.
- 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.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," Working Papers 15064, University of Tasmania, Tasmanian School of Business and Economics, revised 01 Aug 2012.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper 40695, University Library of Munich, Germany.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2014. "Identification-robust inference for endogeneity parameters in linear structural models," CIRANO Working Papers 2014s-17, CIRANO.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014. "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche 03-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Antoine, Bertille & Lavergne, Pascal, 2023.
"Identification-robust nonparametric inference in a linear IV model,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
- Bertille Antoine & Pascal Lavergne, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp19-02, Department of Economics, Simon Fraser University.
- Antoine Bertille & Pascal Lavergne, 2023. "Identification-Robust Nonparametric Inference in a Linear IV Model," Post-Print hal-04141433, HAL.
- Bertille Antoine & Pascal Lavergne, 2021. "Identifcation-Robust Nonparametric Inference in a Linear IV Model," Discussion Papers dp21-12, Department of Economics, Simon Fraser University.
- Antoine, Bertille & Lavergne, Pascal, 2019. "Identification-Robust Nonparametric Inference in a Linear IV Model," TSE Working Papers 19-1004, Toulouse School of Economics (TSE), revised May 2021.
- 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.
- 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.
- Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics.
- 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.
- Jean-Jacques Forneron, 2019. "Detecting Identification Failure in Moment Condition Models," Papers 1907.13093, arXiv.org, revised Oct 2023.
- 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.
- Jean-Thomas Bernard & Ba Chu & Lynda Khalaf & Marcel-Cristian Voia, 2017. "Non-standard Confidence Sets for Ratios and Tipping Points with Applications to Dynamic Panel Data," Carleton Economic Papers 17-05, Carleton University, Department of Economics.
- 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," Post-Print hal-03549991, HAL.
- 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.
- Omer Bayar, 2022. "Reducing large datasets to improve the identification of estimated policy rules," Empirical Economics, Springer, vol. 63(1), pages 113-140, July.
- Maral Kichian & Milana Mihic, 2018. "How important are wealth effects on consumption in Canada?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 784-798, August.
- Marine Carrasco & Guy Tchuente, 2016. "Regularization Based Anderson Rubin Tests for Many Instruments," Studies in Economics 1608, School of Economics, University of Kent.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2016.
"Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory,"
Cahiers de recherche
14-2016, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2017. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory," School of Economics Working Papers 2017-01, University of Adelaide, School of Economics.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
- Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf & Abdallah Zalghout, 2020.
"Identification-robust Inequality Analysis,"
CIRANO Working Papers
2020s-23, CIRANO.
- Jean-Marie Dufour & Emmanuel Flachaire & Lynda Khalaf & Abdallah Zalghout, 2020. "Identification-Robust Inequality Analysis," Cahiers de recherche 03-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Doko Tchatoka, Firmin, 2011.
"Testing for partial exogeneity with weak identification,"
MPRA Paper
39504, University Library of Munich, Germany, revised Mar 2012.
- Doko Tchatoka, Firmin, 2012. "Testing for partial exogeneity with weak identification," Working Papers 14565, University of Tasmania, Tasmanian School of Business and Economics, revised 31 May 2012.
- 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.
- DUFOUR, Jean-Marie & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: An Identification Robust Econometric Analysis," Cahiers de recherche 22-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis," CIRANO Working Papers 2005s-30, CIRANO.
- DUFOUR, Jean-Marie Dufour & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis," Cahiers de recherche 2005-17, Universite de Montreal, Departement de sciences economiques.
- Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis," Staff Working Papers 05-27, Bank of Canada.
- 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.
- Firmin Doko Tchatoka, 2015.
"On bootstrap validity for specification tests with weak instruments,"
Econometrics Journal, Royal Economic Society, vol. 18(1), pages 137-146, February.
- Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," Working Papers 16875, University of Tasmania, Tasmanian School of Business and Economics, revised 05 Aug 2013.
- Firmin Doko Tchatoka, 2014. "On Bootstrap Validity for Specification Tests with Weak Instruments," School of Economics and Public Policy Working Papers 2014-06, University of Adelaide, School of Economics and Public Policy.
- Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," MPRA Paper 47485, University Library of Munich, Germany.
- Rietveld, Cornelius A. & Webbink, Dinand, 2016. "On the genetic bias of the quarter of birth instrument," Economics & Human Biology, Elsevier, vol. 21(C), pages 137-146.
- Bayar, Omer, 2018. "Weak instruments and estimated monetary policy rules," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 308-317.
- 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.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020. "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," CIRANO Working Papers 2020s-30, CIRANO.
- 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.
- 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.
- Doko Tchatoka, Firmin, 2010. "Subset hypotheses testing and instrument exclusion in the linear IV regression," MPRA Paper 29611, University Library of Munich, Germany, revised 02 Feb 2012.
- Firmin Doko Tchatoka, 2011. "Subset hypotheses testing and instrument exclusion in the linear IV regression," Working Papers 10668, University of Tasmania, Tasmanian School of Business and Economics.
- 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.
- Kichian, Maral & Rumler, Fabio, 2014. "Forecasting Canadian inflation: A semi-structural NKPC approach," Economic Modelling, Elsevier, vol. 43(C), pages 183-191.
- 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.
- Kasey S. Buckles & Daniel M. Hungerman, 2013.
"Season of Birth and Later Outcomes: Old Questions, New Answers,"
The Review of Economics and Statistics, MIT Press, vol. 95(3), pages 711-724, July.
- Kasey Buckles & Daniel M. Hungerman, 2008. "Season of Birth and Later Outcomes: Old Questions, New Answers," NBER Working Papers 14573, National Bureau of Economic Research, Inc.
- 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.
- 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.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory," School of Economics and Public Policy Working Papers 2016-01, University of Adelaide, School of Economics and Public Policy.
- 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.
- Maral Kichian & Rumler Fabio & Paul Corrigan, 2010. "Semi-Structural Models for Inflation Forecasting," Staff Working Papers 10-34, Bank of Canada.
- Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
- Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Paper 212, Department of Economics, University of Pittsburgh, revised Jan 2006.
- 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.
- Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2020.
"Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: Invariance and finite-sample distributional theory,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 390-418.
- Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2016. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory," Cahiers de recherche 14-2016, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Firmin Doko Tchatoka & Jean-Marie Dufour, 2016. "Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory," CIRANO Working Papers 2016s-62, CIRANO.
- Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.