Confidence sets for covariances between errors and endogenous regressors with possibly weak instruments ∗
نویسندگان
چکیده
In this paper, we propose a procedure based on projection techniques for building exact confidence sets for covariances between errors and endogenous regressors in linear structural models. This procedure is robust to weak instruments and can be used as exogeneity test for endogenous regressors. We characterize the necessary and sufficient conditions under which these confidence sets are bounded. We also show that the procedure is asymptotically valid even in presence of heteroskedasticity or autocorrelation.
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تاریخ انتشار 2009