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A NEW PROJECTION-TYPE SPLIT-SAMPLE SCORETEST IN LINEAR INSTRUMENTAL VARIABLESREGRESSION

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 ofprojection-type inference and describe it in thecontext of two stage least squares–basedsplit-sample inference on subsets of structuralcoefficients in a linear instrumental variablesregression model. The use of the new method not onlyguards against the uncontrolled overrejection of thetrue value of the parameters of interest but alsoreduces the conservativeness of the usual method ofprojection 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, discussionpaper; Dufour and Taamouti, 2005,Econometrica 73, 1351–1365;Dufour and Taamouti, 2007, Journal ofEconometrics 139, 133–153).

Information

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 theeconomics department of the University ofWashington and the session participants at thesummer meeting (2007) of the North AmericanEconometric Society for their comments. Commentsand suggestions from the coeditor and twoanonymous referees improved the papersubstantially. Research was supported by the GaryWaterman Distinguished Scholar Fund, a seed grantfrom the Center for Statistics and the SocialSciences at the University of Washington (PI:Zivot), NSF grant DMS 0505865 (PI: Richardson),NIH grant R01 AI032475 (PI: Robins).

References

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