Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
在工具变量回归模型中，研究内生变量参数的检验方法，通过确定双边不变相似检验的功效上界，评估条件似然比等检验的功效，发现条件似然比检验接近一致最优。
This paper considers tests of the parameter on an endogenous variable in an instrumental variables regression model. The focus is on determining tests that have some optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We consider tests that are similar and satisfy a natural rotational invariance condition. We determine a two-sided power envelope for invariant similar tests. This allows us to assess and compare the power properties of tests such as the conditional likelihood ratio (CLR), the Lagrange multiplier, and the Anderson-Rubin tests. We find that the CLR test is quite close to being uniformly most powerful invariant among a class of two-sided tests. Copyright The Econometric Society 2006.