A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION

被引：6

作者：

Chaudhuri, Saraswata ^{[2
]}

Richardson, Thomas

Robins, James ^{[3
]}

Zivot, Eric ^{[1
]}

机构：

[1] Univ Washington, Dept Econ, Seattle, WA 98195 USA

[2] Univ N Carolina, Chapel Hill, NC 27515 USA

[3] Harvard Univ, Cambridge, MA 02138 USA

来源：

ECONOMETRIC THEORY | 2010年 / 26卷 / 06期

关键词：

WEAK INSTRUMENTS; STRUCTURAL PARAMETERS; INFERENCE; MODELS; EQUATIONS;

D O I：

10.1017/S0266466609990806

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares-based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. The use of the new method not only guards against the uncontrolled overrejection of the true value of the parameters of interest but also reduces the conservativeness of the usual method of projection proposed by Dufour and his coauthors (Dufour, 1997, Econometrica 65, 1365-1388; Dufour and Jasiak, 2001, International Economic Review 41, 815-843; Dufour and Taamouti, 2005, discussion paper; Dufour and Taamouti, 2005, Econometrica 73, 1351-1365; Dufour and Taamouti, 2007, Journal of Econometrics 139, 133-153).

引用

页码：1820 / 1837

页数：18

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