Economics at your fingertips  


Victor Chernozhukov, Christian Hansen () and Michael Jansson ()

Econometric Theory, 2009, vol. 25, issue 3, 806-818

Abstract: 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, 46–63) test. Thus, there is no conventional statistical sense in which the Anderson and Rubin (1949) test “wastes degrees of freedom.†In addition, it is shown that the test proposed by Moreira (2003, Econometrica 71, 1027–1048) belongs to the closure of (i.e., can be interpreted as a limiting case of) the class of tests covered by our admissibility result.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link) ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2020-09-08
Handle: RePEc:cup:etheor:v:25:y:2009:i:03:p:806-818_09