A conditional linear combination test with many weak instruments

A conditional linear combination test with many weak instruments

We consider a linear combination of jackknife Anderson-Rubin (AR) and orthogonalized Lagrangian multiplier (LM) tests for inference in IV regressions with many weak instruments and heteroskedasticity. We choose the weight in the linear combination based on a decision-theoretic rule that is adaptive...

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Bibliographic Details
Main Authors: LIM, Dennis, WANG, Wenjie, ZHANG, Yichong
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Many instruments
power
size
weak identification
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2618
https://ink.library.smu.edu.sg/context/soe_research/article/3617/viewcontent/ConditionalLinearComb_Weak_2023_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2618
https://ink.library.smu.edu.sg/context/soe_research/article/3617/viewcontent/ConditionalLinearComb_Weak_2023_sv.pdf

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