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

DOI10.1017/S0266466616000347zbMATH Open1442.62728OpenAlexW3122664030MaRDI QIDQ5357397FDOQ5357397

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

Recommendations

• Identification- and singularity-robust inference for moment condition models
• Testing with many weak instruments
• A Conditional Likelihood Ratio Test for Structural Models
• Testing the adequacy of conventional asymptotics in GMM
• Testing Instrument Admissibility: Some Refined Asymptotic Results

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)

Cites Work

• Instrumental Variables Regression with Weak Instruments
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• Generalized Method of Moments With Many Weak Moment Conditions
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• GMM with Weak Identification
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Generalized reduced rank tests using the singular value decomposition
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Asymptotic and finite sample distribution theory for IV estimators and tests in partially identified structural equations
• Inferring the rank of a matrix
• Hypothesis Testing with Efficient Method of Moments Estimation
• On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
• TESTS OF RANK
• Tests with correct size when instruments can be arbitrarily weak
• Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
• Identification and Lack of Identification
• Automobile Prices in Market Equilibrium
• Special issue of econometric theory on SETA 2010: editors' introduction
• Testing Parameters in GMM Without Assuming that They Are Identified
• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments
• ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION
• Decision Theory Applied to an Instrumental Variables Model
• Robust confidence sets in the presence of weak instruments
• Estimation and inference with weak, semi-strong, and strong identification
• Robust inference in nonlinear models with mixed identification strength
• Maximum likelihood inference in weakly identified dynamic stochastic general equilibrium models
• A new method of projection-based inference in GMM with weakly identified nuisance parameters
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• Maximum likelihood estimation and uniform inference with sporadic identification failure
• GEL statistics under weak identification
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing for weak identification in possibly nonlinear models
• A new projection-type split-sample score test in linear instrumental variables regression
• A geometric approach to nonlinear econometric models
• Conditional inference with a functional nuisance parameter
• EXACT PROPERTIES OF THE CONDITIONAL LIKELIHOOD RATIO TEST IN AN IV REGRESSION MODEL

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

This page was built for publication: Asymptotic size of Kleibergen's LM and conditional LR tests for moment condition models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5357397)