Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
异方差与自相关误差下工具变量回归的最优双侧检验
This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. A typical weight choice yields tests with power near zero for parts of the parameter space.