Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments

Journal of Econometrics

Volumn 146, Issue 2, 2008, Pages 241-254

  Andrews, Donald W K ^a   Moreira, Marcelo J ^b,c   Stock, James H ^b,d  

^a YALE UNIVERSITY   (United States)

^b HARVARD UNIVERSITY   (United States)

^c FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Instrumental variables regression; Invariant tests; Optimal tests; Power envelope; Two sided tests

Indexed keywords

ESTIMATION; INSTRUMENTS; LEARNING SYSTEMS; MAXIMUM LIKELIHOOD ESTIMATION; MODEL STRUCTURES; NUMERICAL ANALYSIS;

INSTRUMENTAL VARIABLES REGRESSION; INVARIANT TESTS; OPTIMAL TESTS; POWER ENVELOPE; TWO-SIDED TESTS;

TESTING;

EID: 53649085864     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.08.015     Document Type: Article

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