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- Title
TESTING INSTRUMENT ADMISSIBILITY: SOME REFINED ASYMPTOTIC RESULTS.
- Authors
Magdalinos, Michael A.
- Abstract
This paper is concerned with the refined asymptotic properties of several tests for the admissibility of a subset of (overidentifying) instrumental variables. It derives maximum likelihood (ML) and linearized ML tests and calculates size corrections to the order 1/T. The local power function of the size-corrected tests is the same to the order 1/T, irrespective of the form of the test statistic or the limited information estimator used in its computation. Finally, it compares these tests with two previously proposed tests.
- Subjects
INSTRUMENTAL variables (Statistics); ASYMPTOTIC theory in econometrics; STOCHASTIC processes; STATISTICS; REGRESSION analysis; ECONOMICS
- Publication
Econometrica, 1994, Vol 62, Issue 2, p373
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/2951617