ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
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Chernozhukov_Admissible invariant.pdf
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112.74 KB
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Author(s)
Hansen, Christian
Jansson, Michael
Chernozhukov, Victor V.
Date Issued
May 2009
Journal
Econometric Theory
Publisher
Cambridge University Press
Citation
Chernozhukov, Victor, Christian Hansen, and Michael Jansson. “ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION.” Econometric Theory 25, no. 03 (June 19, 2009): 806. © Cambridge University Press 2009
Version
Final published version
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.
MIT Department
Massachusetts Institute of Technology. Department of Economics
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DOI of Published Version
https://doi.org/10.1017/s0266466608090312
