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A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORE TEST IN LINEAR INSTRUMENTAL VARIABLES REGRESSION

Published online by Cambridge University Press:  22 March 2010

Saraswata Chaudhuri ,
Thomas Richardson ,
James Robins  and
Eric Zivot
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Abstract

In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares–based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. The use of the new method not only guards against the uncontrolled overrejection of the true value of the parameters of interest but also reduces the conservativeness of the usual method of projection proposed by Dufour and his coauthors (Dufour, 1997, Econometrica 65, 1365–1388; Dufour and Jasiak, 2001, International Economic Review 41, 815–843; Dufour and Taamouti, 2005, discussion paper; Dufour and Taamouti, 2005, Econometrica 73, 1351–1365; Dufour and Taamouti, 2007, Journal of Econometrics 139, 133–153).

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Type
Brief Report
Information
Econometric Theory , Volume 26 , Issue 6 , December 2010 , pp. 1820 - 1837
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

We thank the seminar participants at the economics department of the University of Washington and the session participants at the summer meeting (2007) of the North American Econometric Society for their comments. Comments and suggestions from the coeditor and two anonymous referees improved the paper substantially. Research was supported by the Gary Waterman Distinguished Scholar Fund, a seed grant from the Center for Statistics and the Social Sciences at the University of Washington (PI: Zivot), NSF grant DMS 0505865 (PI: Richardson), NIH grant R01 AI032475 (PI: Robins).

References

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