Admissible Invariant Similar Tests for Instrumental Variables Regression

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). The class of tests covered by this admissibility result contains the Anderson and Rubin (1949) 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) belongs to the closure of (i.e., can be interpreted as a limiting case of) the class of tests covered by our admissibility result.

Keywords: Instrumental Variables, Regression, Inference

JEL Classification: C13, C14, C30, C51, D4, J24, J31

Suggested Citation: Suggested Citation

Chernozhukov, Victor and Hansen, Christian and Jansson, Michael, Admissible Invariant Similar Tests for Instrumental Variables Regression (March 12, 2007). MIT Department of Economics Working Paper No. 07-09, Available at SSRN: https://ssrn.com/abstract=970616 or http://dx.doi.org/10.2139/ssrn.970616