Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity

Naoto Kunitomo and Yukitoshi Matsushita
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Naoto Kunitomo: Faculty of Economics, University of Tokyo

No CIRJE-F-588, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Anderson and Kunitomo (2007) have developed the likelihood ratio criterion, which is called the Rank-Adjusted Anderson-Rubin (RAAR) test, for testing the coefficients of a structural equation in a system of simultaneous equations in econometrics against the alternative hypothesis that the equation of interest is identified. It is related to the statistic originally proposed by Anderson and Rubin (1949, 1950), and also to the test procedures by Kleibergen (2002) and Moreira (2003). We propose a modified procedure of RAAR test, which is suitable for the cases when there are many instruments and the disturbances have persistent heteroscedasticities.

Pages: 26pages
Date: 2008-09
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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