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Admissible Invariant Similar Tests for Instrumental Variables Regression
Victor Chernozhukov Massachusetts Institute of Technology (MIT) - Department of Economics 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.
Keywords: Instrumental Variables, Regression, Inference JEL Classifications: C13, C14, C30, C51, D4, J24, J31 Working Paper SeriesDate posted: April 03, 2007 ; Last revised: April 03, 2007Suggested CitationContact Information
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