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 structural 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 asympt...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Cambridge University Press
2023
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