Higher Order Expansions in the Weak Instrument Case

Gustavo Suarez, Marcelo Moreira and Jack R. Porter

No 638, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: We provide an argument for the limitation of Edgeworth expansions to many commonly used statistics in the weak instrument framework. However, we show that Edgeworth expansions hold for approximately similar tests regardless of the identification conditions. Finally, we consider simulation techniques to adjust the size of these tests.

Keywords: weak instruments; edgeworth expansions (search for similar items in EconPapers)
JEL-codes: C12 C31 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:638

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