Admissible Invariant Similar Tests for Instrumental Variables Regression

Specification Tests for Semiparametric Instrumental Variables

Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments

In this paper we obtain a consistent estimator when there exist some measurement errors and multicollinearity in the instrumental variables in a two stage least square estimation of parameters. We investigate the asymptotic distribution of the proposed estimator and discuss its properties using some theoretical proofs and a simulation study. A real numerical application is also provided for mor...

Nonlinear and Nonparametric Regression and Instrumental Variables

We consider regression when the predictor is measured with error and an instrumental variable is available. The regression function can be modeled linearly, nonlinearly, or nonparametrically. Our major new result shows that the regression function and all parameters in the measurement error model are identified under relatively weak conditions, much weaker than previously known to imply identif...

Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors

A . This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild smoothness conditions on the error distribution it is possible develop tests which are “nearly” efficient...

Specification Test for Instrumental Variables Regression with Many Instruments∗

This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test is similar to the overidentifying restrictions test of Sargan (1958) but the test statistic asymptotically follows the standard normal distribution under the null hypothesis when the number of instruments is proportional to the sample size. It turns out that the new tes...