Exponential Tilting with Weak Instruments: Estimation and Testing
在非线性框架下分析了弱工具变量时的指数倾斜估计量，重点研究其一致性证明，并考察了安德森-鲁宾和克莱伯根型检验统计量。模拟比较发现，基于指数倾斜的克莱伯根检验在规模表现上最优。
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.