论文标题
有条件的可能比率测试，许多弱仪器
Conditional Likelihood Ratio Test with Many Weak Instruments
论文作者
论文摘要
本文扩展了Moreira（2003）开发的条件似然比（CLR）测试的有效性与具有未知误差差异和许多弱仪器的仪器变量回归模型的有效性。在这种情况下，我们认为具有估计误差方差的常规CLR测试失去了确切的相似性，并且渐近无效。我们提出了具有估计误差差异的似然比（LR）统计量的修改的临界价值函数，并证明该修改的测试在许多弱仪器渐近造剂下实现了渐近有效性。我们的临界价值函数是通过使用四个统计量来表示LR的，而不是在Moreira（2003）中构建两个。一项仿真研究说明了我们测试的理想特性。
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.
