arXiv 4 Sep 2025 · Econometrics
arXiv:2509.04144 · PDF · DOI · OpenAlex · Extracted main text
We derive the exact asymptotic distribution of the conditional likelihood-ratio test in instrumental variables regression under weak instrument asymptotics and for multiple endogenous variables. The distribution is conditional on all eigenvalues of the concentration matrix, rather than only the smallest eigenvalue as in an existing asymptotic upper bound. This exact characterization leads to a substantially more powerful test if there are differently identified endogenous variables. We provide computational methods implementing the test and demonstrate the power gains through numerical analysis.
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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 | Kleibergen, F (2007) Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identificati… | 1.000 | 25 | 3 | 100% |
| 2 | Londschien, M (2025) A statistician's guide to weak-instrument-robust inference in instrumental variables regression with illustrations in Python self | 1.000 | 5 | 4 | 100% |
| 3 | Moreira, M. J (2003) A conditional likelihood ratio test for structural models | 0.874 | 8 | 2 | 100% |
| 4 | Staiger, D. O. and J. H. Stock (1997) Instrumental variables regression with weak instruments | 0.737 | 3 | 2 | 100% |
| 5 | Londschien, M. and P. Bühlmann (2024) Weak-instrument-robust subvector inference in instrumental variables regression: A subvector lagrange multiplier test and proper… self | 0.644 | 2 | 2 | 100% |
| 6 | Anderson, T. W (1951) Estimating linear restrictions on regression coefficients for multivariate normal distributions | 0.405 | 1 | 1 | 100% |
| 7 | Hillier, G (2009) On the conditional likelihood ratio test for several parameters in IV regression | 0.405 | 1 | 1 | 100% |
| 8 | Kleibergen, F (2002) Pivotal statistics for testing structural parameters in instrumental variables regression | 0.405 | 1 | 1 | 100% |
| 9 | Kleibergen, F (2021) Efficient size correct subset inference in homoskedastic linear instrumental variables regression | 0.405 | 1 | 1 | 100% |
Showing the top 9 of 9 scored citations.