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Workshop “Frontiers of High Dimensional Statistics, Optimization, and Econometrics”
26 февраля 2015 г. 12:00–12:30, Москва, ВШЭ, Шаболовская 26, корпус 3, ауд. 3211
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[Linear hypothesis testing in the problem with weak instrumental variables]
K. Andzhey |
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| Эта страница: | 121 |
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Аннотация:
In this work a new method for testing linear hypothesis on the target parameter is developed. To compute critical values for a log-likelihood ratio statistics we use miltiplier bootstrap procedure. We justify this method and then use it for a regression model with instrumental varibles included. Numerical experiments show good power properties of proposed method under both weak and strong instruments identification.
Язык доклада: английский
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