Testing Instrument Admissibility: Some Refined Asymptotic Results

Michael A Magdalinos

Econometrica, 1994, vol. 62, issue 2, 373-404

Abstract: This paper is concerned with the refined asymptotic properties of several tests for the admissibility of a subset of (overidentifying) instrumental variables. It derives maximum likelihood and linearized maximum likelihood tests and calculates size corrections to the order 1/T. The local power function of the size-corrected tests is the same to the order 1/T, irrespectively of the form of the test statistic or the limited information estimator used in its computation. Futher, it compares these tests with two previously proposed tests. The size and the power of the original and the size-corrected tests are compared by Monte Carlo experiments. Copyright 1994 by The Econometric Society.

Date: 1994
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