Authors
Date (dd-mm-yyyy)
2007
Title
Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
Journal
Journal of Econometrics
Volume
139
Publication Year
2007
Pages
181-216
Issue number
1
Document type
Article
Faculty
Faculty of Economics and Business (FEB)
Institute
Amsterdam School of Economics Research Institute (ASE-RI)
Abstract
We generalize the weak instrument robust score or Lagrange multiplier and likelihood ratio instrumental variables (IV) statistics towards multiple parameters and a general covariance matrix so they can be used in the generalized method of moments (GMM). The GMM extension of Moreira's [2003. A conditional likelihood ratio test for structural models. Econometrica 71, 1027-1048] conditional likelihood ratio statistic towards GMM preserves its expression except that it becomes conditional on a statistic that tests the rank of a matrix. We analyze the spurious power decline of Kleibergen's [2002. Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica 70, 1781-1803, 2005. Testing parameters in GMM without assuming that they are identified. Econometrica 73, 1103-1124] score statistic and show that an independent misspecification pre-test overcomes it. We construct identification statistics that reflect if the confidence sets of the parameters are bounded. A power study and the possible shapes of confidence sets illustrate the analysis.

URL
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Permalink
https://hdl.handle.net/11245/1.291275