ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The class of tests covered by this admissibility resu...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Cambridge University Press
2013
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| Online Access: | http://hdl.handle.net/1721.1/82628 https://orcid.org/0000-0002-3250-6714 |
| Summary: | This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949, Annals of Mathematical Statistics 20, 46–63) test. Thus, there is no conventional statistical sense in which the Anderson and Rubin (1949) test “wastes degrees of freedom.” In addition, it is shown that the test proposed by Moreira (2003, Econometrica 71, 1027–1048) belongs to the closure of (i.e., can be interpreted as a limiting case of) the class of tests covered by our admissibility result. |
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