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主讲人 |
史晓霞 |
简介 |
<p>In this paper, we study the inference problem under misspecification in a linear instrumental variable (IV) regression with potential weak identification. Under weak IV, inference is typically done via hypothesis testing. Thus we first introduce the concept of pseudo-true parameter value for a test and investigate the pseduo-true value for the 2SLS-t test, the Anderson-Rubin (AR) test, the Lagrange Multiplier (LM), and the conditional likelihood ratio (CLR) test. We find that only the 2SLS-t test has a unique proper pseudo-true value that has an economic interpretation in a commonly considered scenario. We then focus attention on the 2SLS-t test pseudo-true value and design a group of tests that are robust to both weak IV and misspecification.</p> |
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主讲人简介 |
<p>Xiaoxia Shi is honored to serve as the Lowell and Leila Robinson Chair Professor of Economics at the University of Wisconsin–Madison. She earned her Ph.D. from Yale University. Her research focuses on semi- and nonparametric estimation, IV regression, moment inequality models etc. Her work has been published in leading journals, including Review of Economic Studies, Econometrica, Journal of Political Economy, Econometric Theory, Journal of Econometrics, and Quantitative Economics. Currently, she serves as a co-editor of Econometric Theory and an associate editor of Quantitative Economics.</p> |
期数 |
“邹至庄讲座”杰出学者论坛（第60期） |
