Sreevidya Ayyar, Yukitoshi Matsushita, Taisuke Otsu
arXiv 14 Oct 2022 · Econometrics · publishedEconometric Theory (2025) · 2 citations (OpenAlex)
arXiv:2210.07680 · PDF · DOI · OpenAlex · Extracted main text
This paper extends validity of the conditional likelihood ratio (CLR) test developed by Moreira (2003) to instrumental variable regression models with unknown error variance and many weak instruments. In this setting, we argue that the conventional CLR test with estimated error variance loses exact similarity and is asymptotically invalid. We propose a modified critical value function for the likelihood ratio (LR) statistic with estimated error variance, and prove that this modified test achieves asymptotic validity under many weak instrument asymptotics. Our critical value function is constructed by representing the LR using four statistics, instead of two as in Moreira (2003). A simulation study illustrates the desirable properties of our test.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mikusheva, Anna, Sun, Liyang (2021) Inference with Many Weak Instruments | 1.000 | 7 | 4 | 100% |
| 2 | Moreira, Marcelo (2003) A conditional likelihood ratio test for structural models | 0.985 | 22 | 7 | 95% |
| 3 | Hansen, Christian, Hausman, Jerry, Newey, Whitney (2008) Estimation with many instrumental variables | 0.928 | 4 | 4 | 100% |
| 4 | Andrews, Donald, Stock, James (2007) Testing with many weak instruments | 0.928 | 4 | 3 | 100% |
| 5 | Hausman, Jerry A, Newey, Whitney K, Woutersen, Tiemen, Chao, John C,… (2012) Instrumental variable estimation with heteroskedasticity and many instruments | 0.843 | 3 | 3 | 100% |
| 6 | Andrews, Donald, Moreira, Marcelo, Stock, James (2006) Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression | 0.644 | 2 | 2 | 100% |
| 7 | Chao, John, Swanson, Norman (2005) Consistent estimation with a large number of weak instruments | 0.644 | 2 | 2 | 100% |
| 8 | Angrist, Joshua, Krueger, Alan (1991) Does compulsory school attendance affect schooling and earnings? | 0.405 | 1 | 1 | 100% |
| 9 | Autor, David, Kostøl, Andreas, Mogstad, Magne, Setzler, Bradley (2019) Disability Benefits, Consumption Insurance, and Household Labor Supply | 0.405 | 1 | 1 | 100% |
| 10 | Crudu, Federico, Mellace, Giovanni (2021) Inference in instrumental variable models with heteroskedasticity and many instruments | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 20 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2308.09535 | 0.405 | 1 | 1 |
| 2 | Valid Wald Inference with Many Weak Instruments | 0.405 | 1 | 1 |
| 3 | Jackknife Instrumental Variable Inference | 0.405 | 1 | 1 |