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

DOI10.1017/S0266466616000347zbMath1442.62728OpenAlexW3122664030MaRDI 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

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

Related Items (4)

Structural inference from reduced forms with many instruments ⋮ 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

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