dc.contributor.author | Kripfganz, S | |
dc.contributor.author | Kiviet, JF | |
dc.date.accessioned | 2021-10-05T13:12:45Z | |
dc.date.issued | 2021-10-04 | |
dc.description.abstract | In models with endogenous regressors, a standard regression approach is to exploit just-identifying or overidentifying orthogonality conditions by using instrumental variables. In just-identified models, the identifying orthogonality assumptions cannot be tested without the imposition of other nontestable assumptions. While formal testing of overidentifying restrictions is possible, its interpretation still hinges on the validity of an initial set of untestable just-identifying orthogonality conditions. We present the kinkyreg command for kinky least-squares inference, which adopts an alternative approach to identification. By exploiting nonorthogonality conditions in the form of bounds on the admissible degree of endogeneity, feasible test procedures can be constructed that do not require instrumental variables. The kinky least-squares confidence bands can be more informative than confidence intervals obtained from instrumental-variables estimation, especially when the instruments are weak. Moreover, the approach facilitates a sensitivity analysis for standard instrumental-variables inference. In particular, it allows the user to assess the validity of previously untestable just-identifying exclusion restrictions. Further instrument-free tests include linear hypotheses, functional form, heteroskedasticity, and serial correlation tests. | en_GB |
dc.identifier.citation | Vol. 21 (3), pp. 772 - 813 | en_GB |
dc.identifier.doi | 10.1177/1536867x211045575 | |
dc.identifier.uri | http://hdl.handle.net/10871/127349 | |
dc.language.iso | en | en_GB |
dc.publisher | SAGE Publications | en_GB |
dc.rights | © 2021 StataCorp LLC. Open access. This article is distributed under the terms of the Creative Commons Attribution 4.0 License (https://creativecommons.org/licenses/by/4.0/) which permits any use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access pages (https://us.sagepub.com/en-us/nam/open-access-at-sage). | en_GB |
dc.subject | st0653 | en_GB |
dc.subject | kinkyreg | en_GB |
dc.subject | kinkyreg2dta | en_GB |
dc.subject | kinkyreg postestimation | en_GB |
dc.subject | kinky least-squares | en_GB |
dc.subject | instrumental variables | en_GB |
dc.subject | instrument-free tests | en_GB |
dc.subject | endogenous regressors | en_GB |
dc.subject | confidence intervals | en_GB |
dc.subject | sensitivity analysis | en_GB |
dc.subject | specification tests | en_GB |
dc.subject | heteroskedasticity | en_GB |
dc.subject | serial correlation | en_GB |
dc.subject | exclusion restrictions | en_GB |
dc.subject | RESET | en_GB |
dc.subject | relative correlation restriction | en_GB |
dc.subject | Krauth’s lambda | en_GB |
dc.subject | Oster’s delta | en_GB |
dc.subject | graphical inference | en_GB |
dc.title | kinkyreg: Instrument-free inference for linear regression models with endogenous regressors | en_GB |
dc.type | Article | en_GB |
dc.date.available | 2021-10-05T13:12:45Z | |
dc.identifier.issn | 1536-867X | |
dc.description | This is the final version. Available on open access from SAGE Publications via the DOI in this record | en_GB |
dc.identifier.journal | The Stata Journal | en_GB |
dc.rights.uri | http://www.rioxx.net/licenses/all-rights-reserved | en_GB |
rioxxterms.version | VoR | en_GB |
rioxxterms.licenseref.startdate | 2021-10-04 | |
rioxxterms.type | Journal Article/Review | en_GB |
refterms.dateFCD | 2021-10-05T13:11:09Z | |
refterms.versionFCD | VoR | |
refterms.dateFOA | 2021-10-05T13:12:58Z | |
refterms.panel | C | en_GB |