Robust Permutation Tests in Linear Instrumental Variables Regression

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Tác giả: Purevdorj Tuvaandorj

Ngôn ngữ: eng

Ký hiệu phân loại: 001.422 Statistical methods

Thông tin xuất bản: 2021

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Bộ sưu tập: Metadata

ID: 168265

Comment: The main paper is 34 pages, followed by an appendix. This version focuses on the single endogenous regressor caseThis 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.
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