A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS

IF 1 4区经济学 Q3 ECONOMICS

Econometric Theory Pub Date : 2022-11-11 DOI:10.1017/s0266466622000433

Yukitoshi Matsushita, Taisuke Otsu

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引用次数: 6

Abstract

This paper proposes a jackknife Lagrange multiplier (JLM) test for instrumental variable regression models, which is robust to (i) many instruments, where the number of instruments may increase proportionally with the sample size, (ii) arbitrarily weak instruments, and (iii) heteroskedastic errors. In contrast to Crudu, Mellace, and Sándor (2021, Econometric Theory 37, 281–310) and Mikusheva and Sun (2021, Review of Economic Studies 89, 2663–2686), who proposed jackknife Anderson–Rubin tests that are also robust to (i)–(iii), we modify a score statistic by jackknifing and construct its heteroskedasticity robust variance estimator. Compared to the Lagrange multiplier tests by Kleibergen (2002, Econometrica 70, 1781–1803) and Moreira (2001, Tests with Correct Size when Instruments Can Be Arbitrarily Weak, Working paper) and their modification for many instruments by Hansen, Hausman, and Newey (2008, Journal of Business & Economic Statistics 26, 398–422), our JLM test is robust to heteroskedastic errors and may circumvent a possible decrease in the power function. Simulation results illustrate the desirable size and power properties of the proposed method.

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多弱仪器的jacknife拉格朗日乘子检验

本文提出了一种用于工具变量回归模型的jackknife拉格朗日乘子（JLM）检验，该检验对（i）许多工具具有鲁棒性，其中工具的数量可能随着样本量成比例增加，（ii）任意弱工具，以及（iii）异基误差。与Crudu、Mellace和Sándor（2021，计量经济学理论37281-310）以及Mikusheva和Sun（2021，经济研究综述892663-2686）相比，他们提出了对（i）-（iii）也具有鲁棒性的jackknife-Anderson–Rubin检验，我们通过Jackknifeng修改了分数统计，并构建了其异方差稳健方差估计器。与Kleibergen（2002，Econometrica 701781-1803）和Moreira（2001，仪器可以任意弱时的正确大小测试，工作论文）的拉格朗日乘数测试及其对Hansen、Hausman和Newey（2008，Journal of Business&Economic Statistics 26398–422）的许多仪器的修改相比，我们的JLM测试对异方差是鲁棒的，并且可以避免幂函数的可能降低。仿真结果说明了所提出方法的理想尺寸和功率特性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.