Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

DOI10.1017/S0266466616000347MaRDI QIDQ5357397zbMATH OpenOpenAlexFDO

Authors Donald W. K. Andrews, Patrik Guggenberger

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

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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Cited in

(6)

• Identification- and singularity-robust inference for moment condition models
• Score tests in GMM: why use implied probabilities?
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Structural inference from reduced forms with many instruments
• Generic results for establishing the asymptotic size of confidence sets and tests
• Asymptotic F tests under possibly weak identification

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