RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS
弱工具变量回归中的秩检验
This paper considers tests in an instrumental variable (IVs) regression model with IVs that may be weak. Tests that have near-optimal asymptotic power properties with Gaussian errors for weak and strong IVs have been determined in Andrews, Moreira, and Stock (2006, Econometrica 74, 715–752). In this paper, we seek tests that have near-optimal asymptotic power with Gaussian errors and improved power with non-Gaussian errors relative to existing tests. Tests with such…