Научный семинар МИЭФ, Stanislav Anatolyev (CERGE-EI / NES)
Докладчик: Stanislav Anatolyev (CERGE-EI / NES)Тема доклада: "Weak (but Relevant) Instrument Robust t and Wald Tests" joint with Olga Kuzmina
Тезисы доклада: We propose new tests of hypotheses for structural parameter values in linear instrumental variables models with possibly weak instruments, both exactly identified and overidentified, both homoskedastic and heteroskedastic, under the assumption of instrument relevance. The novelty is to condition on certain observable values that asymptotically proxy the unknown parameters that influence sizes of conventional t and Wald tests. The p-values for the modified t test can be found from an explicit formula, while the modified Wald test requires low-dimensional numerical integration. We illustrate how the modified tests work in simulations and in a recently debated empirical application and compare with other state-of-the-art methods of addressing the weak instrument problem.