본문 바로가기
KERD
논문KCI 등재

An Endogeneity-Corrected Bootstrap Test on Instrument Relevance in Instrumental Variables Estimation

정진욱
한국경제학회 (The Korean Economic Association)|2004.06|The Korean Economic Review|제20권 제1호|pp. 3-34

1

조회

0

다운로드

0

인용

0

참고문헌

주제분류경제학

초록

Abstract

It is well known that IV estimation produces considerable bias when the instruments are irrelevant. Previous studies have suggested several instrument screening tests to avoid such bias. In this paper, an LR test based on the exact finite sample distribution of R2 is proposed for a more powerful instrument screening test. It is also analyzed how the degree of endogeneity affects bias in IV estimation. Then, a nonparametric instrument screening test with endogeneity adjustment is suggested. The finite sample performance of the new test is evaluated in a Monte Carlo simulation.

참고문헌 (33)

  1. "An Introduction to Multivariate Statistical Analysis" (1984), John Wiley and Sons
  2. "On the Number of Bootstrap Repetitions for BCa Confidence Intervals", 18, pp.962~984 (2002)
  3. "A Bootstrap View of Asymptotic Refinements Journal of American Statistical Association", pp.687~697 (1988)
  4. "A Review of Bootstrap Confidence Intervals Journal of Royal Statistical Society", pp.338~354 (1988)
  5. "Bootstrap Confidence Intervals and Bootstrap Approximations", 82, pp.163~170 (1987)
  6. "Another Look at the Jackknife The Annals of Statistics", pp.1~26 (1979)
  7. "CBMS-NSF Regional Conference Series in Applied Mathematics Society for Industrial and Applied Mathematics", mo(graph 38) (1982)
  8. "Journal of the American Statistical Association", pp.171~200 (1987)
  9. "The General Sampling Distribution of the Multiple Correlation Coefficient Proceedings of the Royal Society of London", pp.654~673 (1928)
  10. "The Likelihood Ratio Tests Of the Dimensionality of Regression Coefficients Journal of Multivariate Analysis", pp.327~340 (1974)
  11. "A Relatively Simple Form of the Distribution of the Multiple Correlation Coefficient Journal of the Royal Statistical Society", pp.276~283 (1968)
  12. "A New Specification Test for the Validity of Instrumental Variables", 70, pp.163~189 (2002)
  13. "Theoretical Comparison of Bootstrap Confidence Intervals The Annals of Statistics", pp.927~953 (1988)
  14. Hall, A.R, "Judging Instrument Relevance in Instrumental Variables Estimation", 37, pp.283~289 (1996)
  15. Hinkley,D.V, "On the Ratio of Two Correlated Normal Random Variables", 56, pp.635~639 (1969)
  16. Jeong,J, "Bootstrap Tests for Autocorrelation", 38, pp.49~69 (2001)
  17. Jeong, J, "Bootstrapped White's Test for Heteroskedasticity in Regression Models", 63, pp.261~267 (1999)
  18. Jeong, "A Perspective on Application of Bootstrap Methods in Econometrics Handbook of Statistics Vol", eco vi(metrics d), pp.573~610 (1994), North-Holland
  19. "Distributions in Statistics" (1970), Continuous Univariate Distributions-2 Houghton Mifflin Company
  20. "Bootstrap Inference in Econometrics", 35, pp.615~645 (2002)
  21. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator", eco(metrica)
  22. "Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables", 41, pp.67~77 (1973)
  23. "A Note on the Distribution of LIML and 2SLS Coefficient Estimators in the Exactly Identified Case Journal of the American Statistical Association", pp.847~848 (1979)
  24. "Bootstrap Iteration for Coverage Correction in Confidence Intervals", 85, pp.1105~1118 (1990)
  25. "The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations", 60, pp.575~595 (1959)
  26. "The Distribution of the Instrumental Variable Estimator and Its t-Ratio When the Instrument Is a Poor One Journal of Business", pp.125~140 (1990)
  27. "Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator", eco(metrica), pp.967~976 (1990)
  28. "Exact Small Sample Theory in the Simultaneous Equations Model Handbook of Econometrics", chapter 8 (1983), North Holland
  29. "The Exact Finite Sample Distribution of Ordinary Least Squares and Two-Stage Least Squares Estimators Journal of the American Statistical Association", pp.923~936 (1969)
  30. "Instrument Relevance in Multivariate Linear Models: A Simple Measure", 79, pp.348~352 (1997)
  31. "Statistical Foundations of Econometric Modelling", spa(s) (1986), Cambridge University Press
  32. "Instrumental Variables Regression with Weak Instruments", 65, pp.557~586 (1997)
  33. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments", 20, pp.518~529 (2002)

관련 논문AI추천

IV Estimation in the Presence of Serially Correlated Regressors and Disturbance Terms김동근, 김창진, 양근혜한국계량경제학회 · 계량경제학보2009 · 제20권 제3호Specification Tests of Overidentifying Restrictions for Minimum Distance Estimation문형식, 이나영이화사회과학원 · 사회과학연구논총2013 · 제29권 Regression Discontinuity Design with Endogenous Covariates김규일한국계량경제학회 · 계량경제학보2013 · 제24권 제4호Recent Applications of Generalized Instrumental Variable ModelsDongwoo Kim경제연구소 · Seoul Journal of Economics2025 · 제38권 제1호Nonparametric Inference for a Triangular System of Equations for Quantile Regression이성원, Yubin Kim경제연구소 · Seoul Journal of Economics2025 · 제38권 제1호Asymptotic Variance and Extensions of A Density-Weighted-Response Semiparametric Estimator김영숙, 이명재, Fali Huang한국계량경제학회 · 계량경제학보2008 · 제19권 제1호

이 간행물의 다른 논문 (9건)

Transfer Pricing and Direct Foreign Investment with Expropriation Risk최용제, Hadi S. Esfahanipp. 35-52Cooperation in Heterogeneous Population강사웅pp. 53-74Investment-Specific Technology Shock in an International Real Business Cycle Model: The Korea Case김준영, 윤재형pp. 75-94Information Technology Investment and Productivity Growth in Korea김종일pp. 95-114The Dynamics of Productivity Changes in the Korean Manufacturing Industry: Nonparametric Directional Distance Function Approach김관수, 노재선, 안동환pp. 115-134
원문 보기