A Conditional Likelihood Ratio Test for Structural Models

By Marcelo J. Moreira. 2003

890 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ecc7e11497f498df974661bdfd6b6576ae05e1f8

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Citations in the corpus

Urban Growth and Transportation (2012, positive): “Note that table 6 also reports 95% confidence bounds calculated from the conditional likelihood ratio (clr) method of Moreira (2003).”
Unexplained factors and their effects on second pass R-squared’s (2015, neutral): “The FM two pass t-statistic testing the hypothesis that the i-th risk premia is equal to λi,0, H0 : λi = λi,0, reads t(λi) = λ̂i−λi,0 √ var(λ̂i) , (32)”
Government Spending Multipliers in Developing Countries : Evidence from Lending by Official Creditors (2012, neutral): “Changes in GDP, government spending, and predicted disbursements are all scaled by lagged GDP. Weak instrument consistent confidence intervals computed using the Moreira ( 2003 ) conditional likelihood ratio statistic.”
GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION (2003, methodology): “linear instrumental variable model with a wide range of error distributions compare our test statistics to several others, including the Kstatistic of Kleibergen (2002a) and the similar conditional likelihood ratio statistic LRM of Moreira (2003) which has been shown to have particularly good powe”
Consistent Estimation with a Large Number of Weak Instruments (2005, methodology): “assumptions are weaker than the corresponding assumptions in Morimune (1983) and Bekker (1994), where fixed instruments and i.i.d. Gaussian errors are assumed. (ii) To see the relationship between our framework and that of Staiger and Stock (1997), note that the Staiger-Stock setup takes bn = √ n, Z”
Generic results for establishing the asymptotic size of confidence sets and tests (2020, methodology): “…(2007), and Andrews and Guggenberger (2012); for weak identification due 27 to weak IV’s, Staiger and Stock (1997), Stock and Wright (2000), Moreira (2003), Kleibergen (2005), Guggenberger et al. 28 (2012a), Guggenberger et al. (2012b, 2019); for weak identification in other models,…”
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT (2010, methodology): “Instrumental variable selection using a ridge penalty has been suggested by Okui (2004) to solve the ‘many instrument variable’ problem.”
On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression (2012, methodology): “In linear IV, it is, for expository purposes, common to analyze the case of fixed instruments, normal errors, and a known covariance matrix; see, for example, Moreira (2003, 2009) and Andrews, Moreira, and Stock (2006).”
ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION (2011, neutral): “A Lagrange multiplier (LM) test statistic, designed for the weak IV context, given as a quadratic form in the first-order condition (FOC) of the GMM CUE has been suggested in Kleibergen (2005) and Moreira (2009). Guggenberger and Smith (2005) consider a modification of this statistic based on the FO”
Peer effects in corporate disclosure decisions (2020, positive): “17 The STATA post-estimation ‘weakiv’ complements ‘condivreg,’ which implements the conditional tests in Moreira (2001, 2003) and offers weak instrument robustness tests for a larger class of models.”
Instrumental Variables: An Econometrician's Perspective (2014, neutral): “(1996), Robins (1989) and McClellan and Newhouse (1994).”
The relationship between product and international diversification: the effects of short‐run constraints and endogeneity (2009, methodology): “Next, to further examine the impact of the high correlation between our instruments, we also undertook a size adjusted conditional likelihood ratio test described in Moreira (2003).”