Výsledky vyhledávání - "Huang Zhenhong"

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The First-stage F Test with Many Weak Instruments

Autor: Huang, Zhenhong, Wang, Chen, Yao, Jianfeng

A widely adopted approach for detecting weak instruments is to use the first-stage $F$ statistic. While this method was developed with a fixed number of instruments, its performance with many instruments remains insufficiently explored. We show that

Externí odkaz: http://arxiv.org/abs/2302.14423

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A specification test for the strength of instrumental variables

Autor: Huang, Zhenhong, Wang, Chen, Yao, Jianfeng

This paper develops a new specification test for the instrument weakness when the number of instruments $K_n$ is large with a magnitude comparable to the sample size $n$. The test relies on the fact that the difference between the two-stage least squ

Externí odkaz: http://arxiv.org/abs/2302.14396

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Unified and robust Lagrange multiplier type tests for cross-sectional independence in large panel data models

Autor: Huang, Zhenhong, Li, Zhaoyuan, Yao, Jianfeng

This paper revisits the Lagrange multiplier type test for the null hypothesis of no cross-sectional dependence in large panel data models. We propose a unified test procedure and its power enhancement version, which show robustness for a wide class o

Externí odkaz: http://arxiv.org/abs/2302.14387

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