arXiv 26 Nov 2021 · Econometrics · publishedJournal of the American Statistical Association (2024) · 3 citations (OpenAlex)
arXiv:2111.13774 · PDF · DOI · OpenAlex · Extracted main text
This paper develops permutation versions of identification-robust tests in linear instrumental variables (IV) regression. Unlike the existing randomization and rank-based tests in which independence between the instruments and the error terms is assumed, the permutation Anderson- Rubin (AR), Lagrange Multiplier (LM) and Conditional Likelihood Ratio (CLR) tests are asymptotically similar and robust to conditional heteroskedasticity under standard exclusion restriction i.e. the orthogonality between the instruments and the error terms. Moreover, when the instruments are independent of the structural error term, the permutation AR tests are exact, hence robust to heavy tails. As such, these tests share the strengths of the rank-based tests and the wild bootstrap AR tests. Numerical illustrations corroborate the theoretical results.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.
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 | Andrews, D. W. and Guggenberger, P (2019) Identification-and Singularity-Robust Inference for Moment Condition Models | 1.000 | 9 | 3 | 100% |
| 2 | Andrews, D. W. K. and Marmer, V (2008) Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments | 1.000 | 7 | 3 | 100% |
| 3 | Moreira, M. J (2003) A Conditional Likelihood Ratio Test for Structural Models | 0.928 | 4 | 3 | 100% |
| 4 | Andrews, D. W. K. and Soares, G (2007) Rank Tests for Instrumental Variables Regression with Weak Instruments | 0.874 | 5 | 2 | 100% |
| 5 | Andrews, D. W. K. and Guggenberger, P (2019) Supplemental material to “Identification-and Singularity-Robust Inference for Moment Condition Models" | 0.811 | 4 | 2 | 100% |
| 6 | Davidson, R. and MacKinnon, J. G (2012) Wild Bootstrap Tests for IV Regression | 0.811 | 4 | 2 | 100% |
| 7 | DiCiccio, C. J. and Romano, J. P (2017) Robust Permutation Tests for Correlation and Regression Coefficients | 0.811 | 4 | 2 | 100% |
| 8 | Imbens, G. W. and Rosenbaum, P. R (2005) Robust, Accurate Confidence Intervals with a Weak Instrument: Quarter of Birth and Education | 0.811 | 4 | 2 | 100% |
| 9 | Lehmann, E. L. and Romano, J. P (2005) Testing Statistical Hypotheses | 0.811 | 4 | 2 | 100% |
| 10 | Andrews, D. W. K., Cheng, X. and Guggenberger, P (2020) Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 47 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.