Invariant tests in an instrumental variables model with unknown data generating process

• Autor(a) principal: Castro, Gustavo Rabello de
• Data de Publicação: 2015
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/15228
• topic: Instrumental variable regression; Invariant tests; Optimal tests; Similar tests; Unbiased tests; Weighted average power tests; Weak instruments; Regressão com variáveis instrumentais; Testes invariantes; Testes ótimos; Testes similares; Testes não viesados; Instrumentos fracos; Economia; Análise de regressão; Variáveis instrumentais (Estatística); Testes de hipóteses estatísticas

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.