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Admissible Invariant Similar Tests for Instrumental Variables Regression

21 Pages Posted: 3 Apr 2007  

Victor Chernozhukov

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

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics

Michael Jansson

University of California, Berkeley - Department of Economics

Date Written: March 12, 2007

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

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: https://ssrn.com/abstract=970616 or http://dx.doi.org/10.2139/ssrn.970616

Victor Chernozhukov (Contact Author)

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

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HOME PAGE: http://www.mit.edu/~vchern/

New Economic School

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Moscow, 117418
Russia

Christian Hansen

University of Chicago - Booth School of Business - Econometrics and Statistics ( 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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