Weak identification robust tests in an instrumental quantile model

A-Tier
Journal: Journal of Econometrics
Year: 2008
Volume: 144
Issue: 1
Pages: 118-138

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

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

Abstract

We develop a testing procedure that is robust to identification quality in an instrumental quantile model. In order to reduce the computational burden, a multi-step approach is taken, and a two-step Anderson-Rubin (AR) statistic is considered. We then propose an orthogonal decomposition of the AR statistic, where the null distribution of each component does not depend on the assumption of a full rank of the Jacobian. Power experiments are conducted, and inferences on returns to schooling using the Angrist and Krueger data are considered as an empirical example.

Technical Details

RePEc Handle
repec:eee:econom:v:144:y:2008:i:1:p:118-138
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25