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, NBER Technical Working Paper 199). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949, Annals of Mathematical Statistics 20, 46 wastes degrees of freedom. 1048) belongs to the closure of (i.e., can be interpreted as a limiting case of) the class of tests covered by our admissibility result.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 25 (2009) Issue (Month): 03 (June) Pages: 806-818 Download reference. The following formats are available: HTML
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