Essays on instrumental variables
Abstract/Contents
- Abstract
- This paper concerns inference on the coefficient of a single endogenous variable in the instrumental variables model when some knowledge of the first stage sign is known to the researcher. To study the properties of tests in the IV model that have correct size under weak instruments, current literature often focus on tests that are invariant to orthogonal transformations of the instruments. In the homoskedastic case, the conditional likelihood ratio (CLR) test is considered "near optimal" because, in most cases, the power of the CLR test is shown to be close to that of the two-sided power envelope for this class of invariant tests. We present novel size-correct tests that presume knowledge of the sign of the first-stage coefficients, and are not invariant. We find that when the sign of the first-stage sign is known, one of these tests numerically dominates both CLR and the two-sided invariant power envelope in terms of asymptotic power. To demonstrate the ubiquity of first-stage sign knowledge in empirical work, we survey papers published in the American Economic Review 2014-2018 that use instrumental variables and find that over 80% presume knowledge of the first-stage sign. These findings suggest a larger class of tests that researchers may consider, both in studying the optimality of tests, and in empirical research
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2020; ©2020 |
| Publication date | 2020; 2020 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Mills, Benjamin Sean |
|---|---|
| Degree supervisor | Hong, Han |
| Thesis advisor | Hong, Han |
| Thesis advisor | Romano, Joseph P, 1960- |
| Thesis advisor | Wolak, Frank A |
| Degree committee member | Romano, Joseph P, 1960- |
| Degree committee member | Wolak, Frank A |
| Associated with | Stanford University, Department of Economics |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Benjamin Mills |
|---|---|
| Note | Submitted to the Department of Economics |
| Thesis | Thesis Ph.D. Stanford University 2020 |
| Location | electronic resource |
Access conditions
- Copyright
- © 2020 by Benjamin Sean Mills
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