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Branch Rickey's Equation Fifty Years Later

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  • Ray Fair
  • Danielle Catambay
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    Abstract

    This paper reviews recent developments in methods for dealing with weak instruments (IVs) in IV regression models. The focus is more on tests (and confidence intervals derived from tests) than estimators. The paper also presents new testing results under "many weak IV asymptotics," which are relevant when the number of IVs is large and the coefficients on the IVs are relatively small. Asymptotic power envelopes for invariant tests are established. Power comparisons of the conditional likelihood ratio (CLR), Anderson-Rubin, and Lagrange multiplier tests are made. Numerical results show that the CLR test is on the asymptotic power envelope. This holds no matter what the relative magnitude of the IV strength to the number of IVs.

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    File URL: http://icfpub.som.yale.edu/publications/2390
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    Bibliographic Info

    Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2390.

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    Date of creation: 01 Jul 2005
    Date of revision: 01 Aug 2007
    Handle: RePEc:ysm:somwrk:amz2390

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    Web page: http://icf.som.yale.edu/
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    Keywords: Branch Rickey's equation; on-base percentage;

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    1. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
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