Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

It is well known that standard asymptotic theory is not applicable or is very unreliable in models with identification problems or weak instruments. One possible way out consists of using a variant of the Anderson-Rubin ((1949), AR) procedure. The latter allows one to build exact tests and confidenc...

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Bibliographische Detailangaben

Veröffentlicht in:	Econometrica. - Wiley. - 73(2005), 4, Seite 1351-1365
1. Verfasser:	Dufour, Jean-Marie (VerfasserIn)
Weitere Verfasser:	Taamouti, Mohamed
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2005
Zugriff auf das übergeordnete Werk:	Econometrica
Schlagworte:	Simultaneous equations Structural model Instrumental variable Weak instrument Confidence interval Testing Projection Quadric Exact inference Asymptotic theory mehr... Mathematics Economics Behavioral sciences Information science Philosophy