Weak Identification Robust Tests for Subvectors Using Implied Probabilities
This paper develops tests for hypotheses concerning subvectors of parameters in models defined by moment conditions. It is well known that conventional tests such as Wald, Likelihood-ratio and Score tests tend to over-reject when the identification is weak. To prevent uncontrolled size distortion an...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-04-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/27/4/396 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|