期刊
ECONOMETRICA
卷 71, 期 4, 页码 1027-1048出版社
BLACKWELL PUBL LTD
DOI: 10.1111/1468-0262.00438
关键词
instruments; similar tests; Wald test; score test; likelihood ratio test; confidence regions; 2SLS estimator; LIML estimator
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.
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