Bertille Antoine, Pascal Lavergne
arXiv 10 Jun 2026 · Econometrics · publishedJournal of Econometrics (2022) · 11 citations (OpenAlex)
arXiv:2606.12185 · PDF · DOI · OpenAlex · Extracted main text
We develop new inference procedures for a linear IV model that are robust to identification strength and heteroskedasticity of unknown form, and nonparametric with respect to the first-stage equation. Our first test is tailored for inference on parameters of endogenous explanatory variables. Our new statistic modifies that of Antoine and Lavergne (2003) to directly account for heteroskedasticity of unknown form. As a result, it is asymptotically pivotal, so that inference is greatly facilitated in practice. We also develop (i) an identification-robust subvector inference procedure that does not rely on the knowledge of identification strength for the remaining parameters, and (ii) a pure specification test. In both cases, the tests are conservative but powerful. We show that our procedures are computationally friendly and competitive with existing ones in simulations and an application.
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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 | Antoine, Bertille and Lavergne, Pascal (2023) Identification-robust nonparametric inference in a linear IV model self | 1.000 | 14 | 6 | 100% |
| 2 | H.J. Bierens (1982) Consistent Model Specification Tests | 0.956 | 8 | 3 | 88% |
| 3 | J. H. Stock and J. H. Wright (2000) GMM with Weak Identification | 0.928 | 4 | 3 | 100% |
| 4 | Sellars, Emily A. and Alix-Garcia, Jennifer (2018) Labor scarcity, land tenure, and historical legacy: Evidence from Mexico | 0.874 | 6 | 2 | 100% |
| 5 | B. Antoine and D. Frazier and E. Renault (2026) Coordinated Testing for Identification Failure and Correct Model Specification self | 0.737 | 3 | 2 | 100% |
| 6 | Herman J. Bierens and Werner Ploberger (1997) Asymptotic Theory of Integrated Conditional Moment Tests | 0.644 | 2 | 2 | 100% |
| 7 | van der Vaart, A. W. and Wellner, Jon A (2000) Weak Convergence and Empirical Processes: with Applications to Statistics | 0.511 | 3 | 2 | 33% |
| 8 | Andrews, Donald W. K (1994) Empirical Process Methods in Econometrics | 0.511 | 2 | 1 | 100% |
| 9 | M. J. Moreira (2003) A Conditional Likelihood Ratio Test for Structural Models | 0.511 | 2 | 1 | 100% |
| 10 | Andrews, Donald W. K (1995) Nonparametric Kernel Estimation for Semiparametric Models | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 50 scored citations.