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Exponential Tilting with Weak Instruments: Estimation and Testing

Mehmet Caner ()

Oxford Bulletin of Economics and Statistics, 2010, vol. 72, issue 3, 307-325

Abstract: This article analyses exponential tilting estimator with weak instruments in a nonlinear framework. Our paper differs from the previous literature in the context of consistency proof. Tests that are robust to the identification problem are also analysed. These are Anderson-Rubin and Kleibergen types of test statistics. We also conduct a simulation study wherein we compare empirical likelihood and continuous updating-based tests with exponential tilting (ET)-based ones. The designs involve GARCH(1,1) and contaminated structural errors. We find that ET-based Kleibergen test has the best size among these competitors. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2010.

Date: 2010
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Working Paper: Exponential Tilting with Weak Instruments: Estimation and Testing (2005) Downloads
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