Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff
将弱工具变量分析扩展到含估计变量和高阶依赖的模型，提出拉格朗日乘子置信区间，并应用于股市、汇率和国债的风险收益权衡研究。
We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between instruments and disturbances. This framework is applicable to linear models with expectation variables that are estimated nonparametrically, such as the risk-return tradeoff in finance and the effect of inflation uncertainty on real economic activity. Our simulation evidence suggests that Lagrange multiplier confidence intervals have better coverage in these models. We apply these methods to excess returns on the S&P 500 index, yen-dollar spot returns, and excess holding yields between 6-month and 3-month Treasury bills. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.