A powerful subvector Anderson Rubin test in linear instrumental variables regression with conditional heteroskedasticity
We introduce a new test for a two-sided hypothesis involving a subset of the struc tural parameter vector in the linear instrumental variables (IVs) model. Guggenberger et al. (2019), GKM19 from now on, introduce a subvector Anderson-Rubin (AR) test with data-dependent critical values that has asymp...
| Main Authors: | , , |
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| Format: | Working paper |
| Language: | English |
| Published: |
University of Oxford
2021
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