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Rank Tests For Instrumental Variables Regression With Weak Instruments

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  • Andrews, Donald W.K.
  • Soares, Gustavo

Abstract

This paper considers tests in an instrumental variable (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006, Econometrica 74, 715 752). In this paper, we seek tests that have near-optimal asymptotic power with Gaussian errors and improved power with non-Gaussian errors relative to existing tests. Tests with such properties are obtained by introducing rank tests that are analogous to the conditional likelihood ratio test of Moreira (2003, Econometrica 71, 1027 1048). We also introduce a rank test that is analogous to the Lagrange multiplier test of Kleibergen (2002, Econometrica 70, 1781 1803) and Moreira (2001, manuscript, University of California, Berkeley).Andrews gratefully acknowledges the research support of the National Science Foundation via grant SES-0417911.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 23 (2007)
Issue (Month): 06 (December)
Pages: 1033-1082

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Handle: RePEc:cup:etheor:v:23:y:2007:i:06:p:1033-1082_07

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Cited by:
  1. Leandro M. Magnusson, 2010. "Inference in limited dependent variable models robust to weak identification," Econometrics Journal, Royal Economic Society, vol. 13(3), pages S56-S79, October.
  2. Andrews, Donald W.K. & Marmer, Vadim, 2008. "Exactly distribution-free inference in instrumental variables regression with possibly weak instruments," Journal of Econometrics, Elsevier, vol. 142(1), pages 183-200, January.
  3. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
  4. Patrik Guggenberger, . "Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with D.W.K. Andrews), 2005, this version May 2007," UCLA Economics Online Papers 414, UCLA Department of Economics.
  5. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, School of Economics and Management, University of Aarhus.

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