Seminars 2007 — Abstracts
Friday, November 16
Speaker:
Nadya Baryshnikova,
Adelaide
Title:
Improvements of the GEL Robust Tests for linear IV models and applications
Abstract: In order to improve the small sample
performance of the Generalized Empirical Likelihood Kleibergen type tests
(GELK), we propose to reweigh 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 (2002) and the original GELK tests in a dynamic panel setting.
As an empirical application, we use the Arellano and Bond (1991) dynamic panel
data to estimate labor demand. We compare our results with the traditional
Wald test to illustrate the practical importance of using tests which are
robust to weak instruments in a dynamic panel setting.
