Testing Instrument Admissibility: Some Refined Asymptotic Results

DOI10.2307/2951617MaRDI QIDQ4290975zbMATH OpenOpenAlexFDO

Authors Michael A. Magdalinos

Publication date 16 June 1994

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951617

zbMATH Keywords

tablesorthogonality conditionslimited information estimatorlocal power functioninstrument admissibilitylikelihood ratio test statisticsize correctionsmaximum likelihood testslinear stochastic relationslinearized ML testsrefined asymptotic properties

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
• The classical principles of testing using instrumental variables estimates
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Testing with many weak instruments
• Asymptotic properties of the Hahn-Hausman test for weak-instruments

Cited in

(7)

• Third-order local power properties of tests for a composite hypothesis. II
• Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models
• Analytical formulae for accurately sized \(t\)-tests in the single instrument case
• Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment
• Admissible, similar tests: a characterization
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test
• A comparison of higher-order local powers of a class of one-way MANOVA tests under general distributions

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