Please use this identifier to cite or link to this item: 
Year of Publication: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 10 [Issue:] 2 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2019 [Pages:] 487-526
The Econometric Society, New Haven, CT
We study subvector inference in the linear instrumental variables model assuming homoskedasticity but allowing for weak instruments. The subvector Anderson and Rubin (1949) test that uses chi square critical values with degrees of freedom reduced by the number of parameters not under test, proposed by Guggenberger, Kleibergen, Mavroeidis, and Chen (2012), controls size but is generally conservative. We propose a conditional subvector Anderson and Rubin test that uses datadependent critical values that adapt to the strength of identification of the parameters not under test. This test has correct size and strictly higher power than the subvector Anderson and Rubin test by Guggenberger et al. (2012). We provide tables with conditional critical values so that the new test is quick and easy to use. Application of our method to a model of risk preferences in development economics shows that it can strengthen empirical conclusions in practice.
Asymptotic size
linear IV regression
subvector inference
weak instruments
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 

Files in This Item:
1.59 MB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.