Marcelo J. Moreira, Mahrad Sharifvaghefi, Geert Ridder
arXiv 29 Apr 2017 · Mathematics — Statistics Theory · 7 citations (OpenAlex)
arXiv:1705.00231 · PDF · DOI · OpenAlex · Extracted main text
This paper uses model symmetries in the instrumental variable (IV) regression to derive an invariant test for the causal structural parameter. Contrary to popular belief, we show that there exist model symmetries when equation errors are heteroskedastic and autocorrelated (HAC). Our theory is consistent with existing results for the homoskedastic model (Andrews, Moreira, and Stock (2006) and Chamberlain (2007)). We use these symmetries to propose the conditional integrated likelihood (CIL) test for the causality parameter in the over-identified model. Theoretical and numerical findings show that the CIL test performs well compared to other tests in terms of power and implementation. We recommend that practitioners use the Anderson-Rubin (AR) test in the just-identified model, and the CIL test in the over-identified model.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Moreira and Moreira (2019) Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors self | 1.000 | 18 | 6 | 100% |
| 2 | Moreira and Ridder (2020) Efficiency Loss of Asymptotically Efficient Tests in an Instrumental Variables Regression | 1.000 | 5 | 3 | 100% |
| 3 | Chamberlain (2007) Decision Theory Applied to an Instrumental Variables Model | 0.928 | 4 | 3 | 100% |
| 4 | Moreira (2002) Tests with Correct Size in the Simultaneous Equations Model self | 0.928 | 4 | 3 | 100% |
| 5 | Moreira (2009) Tests with Correct Size when Instruments Can Be Arbitrarily Weak self | 0.928 | 4 | 3 | 100% |
| 6 | Andrews, Moreira, and Stock (2006) Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression | 0.843 | 3 | 3 | 100% |
| 7 | Andrews and Mikusheva (2016) Conditional Inference with a Functional Nuisance Parameter | 0.644 | 2 | 2 | 100% |
| 8 | Andrews and Mikusheva (2020) Optimal Decision Rules for Weak GMM | 0.644 | 2 | 2 | 100% |
| 9 | Andrews, Moreira, and Stock (2004) Optimal Invariant Similar Tests for Instrumental Variables Regression | 0.644 | 2 | 2 | 100% |
| 10 | Eaton (1989) Group Invariance Applications in Statistics | 0.644 | 2 | 2 | 100% |
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