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econ.EM2024★ 1 cited
A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions
Dennis Lim, Wenjie Wang, Yichong Zhang
Weak-identification-robust tests for instrumental variable (IV) regressions are typically developed separately depending on whether the number of IVs is treated as fixed or increas…
econ.EM2022
A Conditional Linear Combination Test with Many Weak Instruments
Dennis Lim, Wenjie Wang, Yichong Zhang
We consider a linear combination of jackknife Anderson-Rubin (AR), jackknife Lagrangian multiplier (LM), and orthogonalized jackknife LM tests for inference in IV regressions with…