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Rank Tests for Instrumental Variables Regression with Weak Instruments

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Author Info
Donald W.K. Andrews () (Cowles Foundation, Yale University)
Gustavo Soares (Department of Economics, Yale University)

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Abstract

This paper considers tests in an instrumental variables (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 (2006a). 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). We also introduce a rank test that is analogous to the Lagrange multiplier test of Kleibergen (2002) and Moreira (2001).

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File URL: http://cowles.econ.yale.edu/P/cd/d15b/d1564.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1564.

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Length: 51 pages
Date of creation: Mar 2006
Date of revision:
Publication status: Published in Econometric Theory (2007), 23(6): 1033-1082
Handle: RePEc:cwl:cwldpp:1564

Note: CFP 1250.
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Related research
Keywords: Asymptotically similar tests; Conditional likelihood ratio test; Instrumental variables regression; Lagrange multiplier test; Power of test; Rank tests; Thick-tailed distribution; Weak instruments;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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  1. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009. [Downloadable!]
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