The validity of instruments revisited

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 166
Issue: 2
Pages: 255-266

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper shows how valid inferences can be made when an instrumental variable does not perfectly satisfy the orthogonality condition. When there is a mild violation of the orthogonality condition, the Anderson and Rubin (1949) test is oversized. In order to correct this problem, the fractionally resampled Anderson–Rubin test is derived by modifying Wu’s (1990) resampling technique. We select half of the sample when resampling and obtain valid but conservative critical values. Simulations show that our technique performs well even with moderate to large violation of exogeneity when there is a finite sample correction for the block size choice.

Technical Details

RePEc Handle
repec:eee:econom:v:166:y:2012:i:2:p:255-266
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-24