Efficient Inference in the Classical IV Regression Model with Weak Identification: Asymptotic Power Against Arbitrarily Large Deviations from the Null Hypothesis
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References listed on IDEAS
- Donald W. K. Andrews & Marcelo J. Moreira & James H. Stock, 2006. "Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression," Econometrica, Econometric Society, vol. 74(3), pages 715-752, May.
- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
- Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, July.
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Keywordsweak instruments; arbitrarily large deviations; power envelope; power comparisons;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-09-18 (All new papers)
- NEP-ALL-2015-09-26 (All new papers)
- NEP-ECM-2015-09-18 (Econometrics)
- NEP-ECM-2015-09-26 (Econometrics)
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