Small Sample Improvements of the GEL Robust Tests for Linear IV Models and ...

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英文文献：Small Sample Improvements of the GEL Robust Tests for Linear IV Models and Applications-用于线性IV模型和应用的凝胶鲁棒测试的小样本改进
英文文献作者：Nadezhda V. Baryshnikova
英文文献摘要：
In order to improve the small sample performance of the Generalized Empirical Likelihood Kleibergen type tests (GELK), we propose to re-weight the variance of moments matrix with GEL probabilities. Our modification improves GELK significantly by cutting the size distortion in half. Using simulations, we compare the performance of our modified tests with Kleibergen's K-test and the original GELK tests in a dynamic panel setting. As an empirical application, we use the Arellano and Bond's dynamic panel data for 140 UK firms to estimate labor demand. We compare our results with the traditionalWald test to illustrate the practical importance of using tests which are robust to weak instruments in a dynamic panel setting.

摘要为了提高广义经验似然Kleibergen型试验(GELK)的小样本性能，我们提出用凝胶概率重新加权矩矩阵的方差。我们的修改大大改善了GELK，减少了一半的大小失真。通过模拟，我们将改进的测试与Kleibergen的k测试以及在动态面板设置下的原始GELK测试的性能进行了比较。作为一个实证应用，我们使用Arellano和Bond的动态面板数据为140个英国公司估计劳动力需求。我们将我们的结果与传统瓦尔德测试进行比较，以说明在动态面板设置中使用对弱仪器稳健的测试的实际重要性。

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