David S. Lee, Justin McCrary, Marcelo J. Moreira, Jack Porter, Luther Yap
arXiv 27 Nov 2023 · Econometrics
arXiv:2311.15952 · PDF · DOI · OpenAlex · Extracted main text
For the over-identified linear instrumental variables model, researchers commonly report the 2SLS estimate along with the robust standard error and seek to conduct inference with these quantities. If errors are homoskedastic, one can control the degree of inferential distortion using the first-stage F critical values from Stock and Yogo (2005), or use the robust-to-weak instruments Conditional Wald critical values of Moreira (2003). If errors are non-homoskedastic, these methods do not apply. We derive the generalization of Conditional Wald critical values that is robust to non-homoskedastic errors (e.g., heteroskedasticity or clustered variance structures), which can also be applied to nonlinear weakly-identified models (e.g. weakly-identified GMM).
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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 | M. J. Moreira (2003) A Conditional Likelihood Ratio Test for Structural Models self | 1.000 | 12 | 5 | 100% |
| 2 | James H. Stock \ Motohiro Yogo (2005) Testing for Weak Instruments in Linear IV Regression | 1.000 | 7 | 3 | 100% |
| 3 | Isaiah Andrews (2016) Conditional Linear Combination Tests for Weakly Identified Models | 0.928 | 4 | 3 | 100% |
| 4 | J-M. Dufour (1997) Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models | 0.737 | 3 | 2 | 100% |
| 5 | Isaiah Andrews (2018) Valid Two-Step Identification-Robust Confidence Sets for GMM | 0.644 | 2 | 2 | 100% |
| 6 | D. W. K. Andrews, M. J. Moreira \ J. H. Stock (2004) Optimal Invariant Similar Tests for Instrumental Variables Regression | 0.644 | 2 | 2 | 100% |
| 7 | Isaiah Andrews, James H. Stock \ Liyang Sun (2019) Weak Instruments in Instrumental Variables Regression: Theory and Practice | 0.644 | 2 | 2 | 100% |
| 8 | F. Kleibergen (2005) Testing Parameters in GMM without Assuming that they are Identified | 0.644 | 2 | 2 | 100% |
| 9 | D. Staiger \ J. H. Stock (1997) Instrumental Variables Regression with Weak Instruments | 0.644 | 2 | 2 | 100% |
| 10 | Whitney Newey \ Daniel L. McFadden (1994) Large Sample Estimation and Hypothesis Testing | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 21 scored citations.