The exact distribution of the conditional likelihood-ratio test in instrumental variables regression
Fuente:
arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866912575426396160 |
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| author | Londschien, Malte |
| author_facet | Londschien, Malte |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_04144 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | The exact distribution of the conditional likelihood-ratio test in instrumental variables regression Londschien, Malte Econometrics Statistics Theory 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. |
| title | The exact distribution of the conditional likelihood-ratio test in instrumental variables regression |
| topic | Econometrics Statistics Theory |
| url | https://arxiv.org/abs/2509.04144 |