ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS

DOI10.1017/S0266466616000347zbMath1442.62728MaRDI QIDQ5357397

Patrik Guggenberger, Donald W. K. Andrews

Publication date: 15 September 2017

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466616000347

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

62F05: Asymptotic properties of parametric tests

Related Items

Asymptotic F tests under possibly weak identification, Score tests in GMM: why use implied probabilities?, Generic results for establishing the asymptotic size of confidence sets and tests, Structural inference from reduced forms with many instruments

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