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- W2098898441 abstract "This paper develops a joint test for the exogeneity and the relevance of instrumental variables using an approach similar to Vuong’s (1989) model selection test. The test statistic is derived from the likelihood ratio of two competing models: one with exogenous and possibly relevant instruments and the other with irrelevant and even possibly endogenous instruments. The joint test is asymptotically pivotal under the null hypothesis that the instruments are exogenous and irrelevant, and is consistent against the alternative hypothesis that the instruments are exogenous and relevant. Hence, non-rejection of the joint test should be taken as an evidence suggesting instruments of poor quality. Another salient feature of the test is that its asymptotic null distribution is the same under both the conventional and the weak instruments asymptotic frameworks, which implies it has better size control than the commonly used overidentifying restrictions tests." @default.
- W2098898441 created "2016-06-24" @default.
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- W2098898441 date "2015-01-01" @default.
- W2098898441 modified "2023-09-27" @default.
- W2098898441 title "Likelihood Ratio based Joint Test for the Exogeneity and the Relevance of Instrumental Variables" @default.
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