ADMISSIBLE INVARIANT SIMILAR TESTS FOR INSTRUMENTAL VARIABLES REGRESSION

DOI10.1017/S0266466608090312zbMath1278.62029OpenAlexW2571335518MaRDI QIDQ3181949

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Publication date: 30 September 2009

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

Full work available at URL: https://doi.org/10.1017/s0266466608090312

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Admissibility in statistical decision theory (62C15)

Related Items (5)

ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS ⋮ Identification-robust nonparametric inference in a linear IV model ⋮ Efficient size correct subset inference in homoskedastic linear instrumental variables regression ⋮ Tests based on \(t\)-statistics for IV regression with weak instruments ⋮ ADMISSIBLE, SIMILAR TESTS: A CHARACTERIZATION

Cites Work

• Admissibility of the likelihood ratio test when a nuisance parameter is present only under the alternative
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Admissibility of the Likelihood Ratio Test when the Parameter Space is Restricted under the Alternative
• Decision Theory Applied to an Instrumental Variables Model
• Testing Statistical Hypotheses
• 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

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