Cover of Admissible invariant similar tests for instrumental variables regression

Mark as

Admissible invariant similar tests for instrumental variables regression

by Victor Chernozhukov

This paper studies a model widely used in the weak instruments literature and establishes admissibility of the weighted average power likelihood ratio tests recently derived by Andrews, Moreira, and Stock (2004). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949) test. Thus, there is no conventional statistical sense in which the Anderson and Rubin (1949) test "wastes degrees of freedom". In addition, it is shown that the test proposed by Moreira (2003) belongs to the closure of (i.e., can be interpreted as a limiting case of) the class of tests...

Buy this book Review

More by Victor Chernozhukov

Cover of An IV model of quantile treatment effects

Cover of An MCMC approach to classical estimation

Cover of Conditional extremes and near-extremes

Cover of Conditional value-at-risk

Cover of Estimation and confidence regions for parameter sets in econometric models

Cover of Extremal quantities and value-at-risk

Cover of Finite sample inference for quantile regression models

Cover of Handbook of Quantile Regression

Cover of Improving estimates of monotone functions by rearrangement

Cover of Improving point and interval estimates of monotone functions by rearrangement

Cover of Inference for distributional effects using instrumental quantile regression

Cover of Inference on counterfactual distributions

Cover of Inference on counterfactual distributions

Cover of Inference on parameter sets in econometric models

Cover of Inference on parameter sets in econometric models

Cover of Inference on quantile regression process

Cover of Instrumental variable quantile regression

Cover of L1-Penalized Quantile Regression in High Dimensional Sparse Models

Cover of Likelihood estimation & inference in a class of nonregular economic models

Cover of Likelihood inference for some non-regular econometric models

Cover of Quantile and probability curves without crossing

Recent activity

Rate this book to see your activity here.

Comments and reviews

Please sign in to leave a comment