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On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference

Abstract:

Power curves of the Conditional Likelihood Ratio (CLR) and related tests for testing H0:β = β0 in linear models with a single endogenous variable, y = xβ+u, estimated using potentially weak instrumental variables have been presented for two different designs. One design keeps the variance matrix of the structural and first-stage errors, Σ, constant, the other instead keeps the variance matrix of the reduced-form and first-stage errors, Ω, constant. The values of Σ govern the endogeneity featu...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1016/j.jeconom.2022.02.004

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
Publisher:
Elsevier
Journal:
Journal of Econometrics More from this journal
Volume:
235
Issue:
1
Pages:
82-104
Publication date:
2022-03-29
Acceptance date:
2022-02-03
DOI:
EISSN:
1872-6895
ISSN:
0304-4076
Language:
English
Keywords:
Pubs id:
1237433
Local pid:
pubs:1237433
Deposit date:
2022-02-04

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