Structural inference from reduced forms with many instruments
Structural inference from reduced forms with many instruments
This paper develops exact finite sample and asymptotic distributions for structural equation tests based on partially restricted reduced form estimates. Particular attention is given to models with large numbers of instruments, wherein the use of partially restricted reduced form estimates is shown to be especially advantageous in statistical testing even in cases of uniformly weak instruments. Comparisons are made with methods based on unrestricted reduced forms, and numerical computations showing finite sample performance of the tests are reported. Some new results are obtained on inequalities between noncentral chi-squared distributions with different degrees of freedom that assist in analytic power comparisons.
Endogeneity, Exact distributions, Partial identification, Partially restricted reduced form, Structural inference, Unidentified structure, Weak reduced form
96-116
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Gao, Wayne Yuan
4932f8a7-d64f-473e-8fa8-6771a1f332f3
1 August 2017
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
Gao, Wayne Yuan
4932f8a7-d64f-473e-8fa8-6771a1f332f3
Phillips, Peter C.B. and Gao, Wayne Yuan
(2017)
Structural inference from reduced forms with many instruments.
Journal of Econometrics, 199 (2), .
(doi:10.1016/j.jeconom.2017.05.003).
Abstract
This paper develops exact finite sample and asymptotic distributions for structural equation tests based on partially restricted reduced form estimates. Particular attention is given to models with large numbers of instruments, wherein the use of partially restricted reduced form estimates is shown to be especially advantageous in statistical testing even in cases of uniformly weak instruments. Comparisons are made with methods based on unrestricted reduced forms, and numerical computations showing finite sample performance of the tests are reported. Some new results are obtained on inequalities between noncentral chi-squared distributions with different degrees of freedom that assist in analytic power comparisons.
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Accepted/In Press date: 20 February 2017
e-pub ahead of print date: 8 June 2017
Published date: 1 August 2017
Keywords:
Endogeneity, Exact distributions, Partial identification, Partially restricted reduced form, Structural inference, Unidentified structure, Weak reduced form
Identifiers
Local EPrints ID: 413174
URI: http://eprints.soton.ac.uk/id/eprint/413174
ISSN: 0304-4076
PURE UUID: 27dcbe05-5711-47f2-a3cd-f50e42514249
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Date deposited: 17 Aug 2017 16:30
Last modified: 16 Mar 2024 05:39
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Author:
Wayne Yuan Gao
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