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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| 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 |