Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Admissible Invariant Similar Tests for Instrumental Variables Regression

Victor Chernozhukov, Christian Hansen and Michael Jansson
Econometric Theory
Vol. 25, No. 3 (Jun., 2009), pp. 806-818
Stable URL: http://www.jstor.org/stable/20532466
Page Count: 13
  • Read Online (Free)
  • Download ($49.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Admissible Invariant Similar Tests for Instrumental Variables Regression
Preview not available

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.

Page Thumbnails

  • Thumbnail: Page 
806
    806
  • Thumbnail: Page 
807
    807
  • Thumbnail: Page 
808
    808
  • Thumbnail: Page 
809
    809
  • Thumbnail: Page 
810
    810
  • Thumbnail: Page 
811
    811
  • Thumbnail: Page 
812
    812
  • Thumbnail: Page 
813
    813
  • Thumbnail: Page 
814
    814
  • Thumbnail: Page 
815
    815
  • Thumbnail: Page 
816
    816
  • Thumbnail: Page 
817
    817
  • Thumbnail: Page 
818
    818