[Statlist] Next talk: Wednesday, March 27, 2013 with Patrik Guggenberger, University of California, San Diego

[Cecilia Rey]

ETH and University of Zurich

Organisers:
Proff. P. Bühlmann - L. Held - H.R. Kuensch - M. Maathuis - S. van de Geer - M. Wolf 

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We are glad to announce the following talk

Wednesday, March 27, 2013 -  15.15h  ETH Zurich HG G 19.1
with Patrik Guggenberger, University of California, San Diego
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Title:
Subset inference in the linear IV model

Abstract:
In the linear instrumental variables model we are interested in testing a hypothesis on the coefficient of an exogenous variable when one right hand side endogenous variable is present. Under the assumption of conditional homoskedasticity but no restriction on the reduced form coefficient vector, we derive the asymptotic size of the subset Lagrange multiplier (LM) test and provide the nonrandom size corrected (SC) critical value that ensures that the resulting SC subset LM test has correct asymptotic size. We introduce an easy-to-implement generalized moment selection plug-in SC (GMS-PSC) subset LM test that uses a data-dependent critical value. We compare the local power properties of the GMS-PSC subset LM and subset AR test and also provide a Monte Carlo study that compares the finite-sample properties of the two tests. The GMS-PSC is shown to have competitive power properties.

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This abstract is also to be found under the following link: http://stat.ethz.ch/talks/research_seminar

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