Abstract

http://ssrn.com/abstract=970616
 
 

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Admissible Invariant Similar Tests for Instrumental Variables Regression


Victor Chernozhukov


Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School

Christian Hansen


University of Chicago Graduate School of Business

Michael Jansson


University of California, Berkeley - Department of Economics

March 12, 2007

MIT Department of Economics Working Paper No. 07-09

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). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949) 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) belongs to the closure of (i.e., can be interpreted as a limiting case of) the class of tests covered by our admissibility result.

Number of Pages in PDF File: 21

Keywords: Instrumental Variables, Regression, Inference

JEL Classification: C13, C14, C30, C51, D4, J24, J31

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Date posted: April 3, 2007  

Suggested Citation

Chernozhukov, Victor and Hansen, Christian and Jansson, Michael, Admissible Invariant Similar Tests for Instrumental Variables Regression (March 12, 2007). MIT Department of Economics Working Paper No. 07-09. Available at SSRN: http://ssrn.com/abstract=970616 or http://dx.doi.org/10.2139/ssrn.970616

Contact Information

Victor Chernozhukov (Contact Author)
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
Room E52-262f
Cambridge, MA 02142
United States
617-253-4767 (Phone)
617-253-1330 (Fax)
HOME PAGE: http://www.mit.edu/~vchern/
New Economic School
47 Nakhimovsky Prospekt
Moscow, 117418
Russia
Christian Hansen
University of Chicago Graduate School of Business ( email )
Chicago, IL 60637
United States
773-834-1702 (Phone)
Michael Jansson
University of California, Berkeley - Department of Economics ( email )
549 Evans Hall #3880
Berkeley, CA 94720-3880
United States
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