GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION

By Taisuke Otsu. Econometric Theory, 2006

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On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression (2012, background): “…structural parameters by consistently estimated counterparts; see Stock and Wright (2000), Kleibergen (2004, 2005), Guggenberger and Smith (2005), Otsu (2006), and Guggenberger, Ramalho, and Smith (2012), among others, for such adaptations of the AR, LM, and CLR tests to subset testing.”
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION (2011, unknown): “Additional GEL variations of LM tests are discussed in Otsu (2006).”
Conditional Linear Combination Tests for Weakly Identified Models (2016, background): “…for linear IV, Stock and Wright (2000) for GMM, Magnusson and Mavroeidis (2010) for minimum distance models, and Ramalho and Smith (2004), Guggenberger and Smith (2005), Otsu (2006), Guggenberger and Smith (2008), and Guggenberger et al. (2012) for generalized empirical likelihood (GEL) models.”