On the Conditional Likelihood Ratio Test for Several Parameters in Iv Regression

Abstract

For the problem of testing the hypothesis that all m coefficients of the righthand-side endogenous variables in an IV regression are zero, the likelihood ratio (LR) test can, if the reduced form covariance matrix is known, be rendered similar by a conditioning argument. To exploit this fact requires knowledge of the relevant conditional cdf of the LR… (More)

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