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Table Of Contents

1. Introduction
2. Models
3. Statistical notions
3.1. Hypotheses
3.2. Test level and size
3.3. Confidence sets and pivots
3.4. Testability and identification
4. Testability, nonparametric models and asymptotic methods
4.1. Procedures robust to nonnormality
4.2. Procedures robust to heteroskedasticity of unknown form
4.3. Procedures robust to autocorrelation of arbitrary form
5. Structural models and weak instruments
5.1. Standard simultaneous equations model
5.2. Statistical problems associated with weak instruments
5.3. Characterization of valid tests and confidence sets
6. Approaches to weak instrument problems
6.1. Anderson-Rubin statistic
6.2. Projections and inference on parameter subsets
6.3. Alternatives to the AR procedure
7. Extensions
7.1. Multivariate regression, simulation-based inference and nonnormal errors
7.2. Nonlinear models
8. Conclusion
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Dufour J.-m. Identification Weak Instruments and Statistical Inference in Eco No Metrics (U. de Montreal, 2003)(43s)_GL

Dufour J.-m. Identification Weak Instruments and Statistical Inference in Eco No Metrics (U. de Montreal, 2003)(43s)_GL

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Published by: Harsha Suranjith Amarasiri on Feb 13, 2012
Copyright:Attribution Non-commercial

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02/13/2012

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