MARC details
| 000 -LEADER |
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| fixed length control field |
02083nam a22002297a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240326121714.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240326b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Hillier, Grant |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
Exact properties of the conditional likelihood ratio test in an IV regression model. |
| Statement of responsibility, etc. |
by Grant Hillier |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
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| Place of production, publication, distribution, manufacture |
Cambridge : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009 |
| 336 ## - CONTENT TYPE |
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| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
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| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
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| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Economic theory |
| Volume/sequential designation |
Volume 25, number 4 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
For a simplified structural equation/IV regression model with one right-side endogenous variable, we derive the exact conditional distribution function of Moreira's (2003) conditional likelihood ratio (CLR) test statistic. This is used to obtain the critical value function needed to implement the CLR test, and reasonably comprehensive graphical versions of this function are provided for practical use. The analogous functions are also obtained for the case of testing more than one right-side endogenous coefficient, but in this case for a similar test motivated by, but not generally the same as, the likelihood ratio test. Next, the exact power functions of the CLR test, the Anderson-Rubin test, and the Lagrange multiplier test suggested by Kleibergen (2002) are derived and studied. The CLR test is shown to clearly conditionally dominate the other two tests for virtually all parameter configurations, but no test considered is either inadmissable or uniformly superior to the other two. The unconditional distribution function of the likelihood ratio test statistic is also derived using the same argument. This shows that both exactly, and under Staiger/Stock weak-instrument asymptotics, the test based on the usual asymptotic critical value is always oversized and can be very seriously so when the number of instruments is large. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Law |
| General subdivision |
Economic theory |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
10.1017/S026646660809035X |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |