Performance of Conditional Wald Tests in IV Regression with Weak Instruments July 2004 This revision: July 2005 Donald W.K. Andrews* Cowles Foundation for Research in Economics, Yale University Marcelo J. Moreira Department of Economics, Harvard University and James H. Stock Department of Economics, Harvard University and the National Bureau of Economic Research ABSTRACT We compare the powers of five tests of the coefficient on a single endogenous regressor in instrumental variables regression. Following Moreira (2003), all tests are implemented using critical values that depend on a statistic which is sufficient under the null hypothesis for the (unknown) concentration parameter, so these conditional tests are asymptotically valid under weak
- class wald statistics
- conditional tests
- clr test
- correct size
- critical values
- instruments
- tests
- power
- interest