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ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION

Published online by Cambridge University Press:  01 June 2009

Victor Chernozhukov ,
Christian Hansen  and
Michael Jansson
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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.

Type
Research Article
Information
Econometric Theory , Volume 25 , Issue 3 , June 2009 , pp. 806 - 818
Copyright
Copyright © Cambridge University Press 2009

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Footnotes

The authors thank Jim Powell, Paul Ruud, a co-editor, and (in particular) two referees for very valuable comments.

References

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