Admissible invariant similar tests for instrumental variables regression created by Victor Chernozhukov, Gordon Hansen and Michael Jansson

By:

Chernozhukov, Victor [author]

Contributor(s):

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 3Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Instrumental variables -- Statistical test -- Estimation theory

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: 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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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.3 (pages 806-818)	SP3258	Not for loan	For In House Use Only

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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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