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A conditional likelihood ratio test for structural models
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DOI：10.1111/1468-0262.00438.png)
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This paper develops a general method for constructing exactly similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reduced-form covariance matrix. These tests are shown to be similar under weak-instrument asymptotics when the reduced-form covariance matrix is estimated and the errors are non-normal. The conditional test based on the likelihood ratio statistic is particularly simple and has good power properties. Like the score test, it is optimal under the usual local-to-null asymptotics, but it has better power when identification is weak.
Keyword:
instruments
similar tests
Wald test
score test
likelihood ratio test
confidence regions
2SLS estimator
LIML estimator
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3.0K
被引数:
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SOME FURTHER RESULTS ON THE EXACT SMALL SAMPLE PROPERTIES OF THE INSTRUMENTAL VARIABLE ESTIMATOR.png)
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