Cited by 796Advanced Causal Inference TechniquesMonetary Policy and Economic ImpactAdvanced Statistical Methods and Models

A Conditional Likelihood Ratio Test for Structural Models

Moreira, Marcelo J.·2003·Econometrica

Abstract

This paper develops a general method for constructing exactly similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reduced-form covariance matrix. These tests are shown to be similar under weak-instrument asymptotics when the reduced-form covariance matrix is estimated and the errors are non-normal. The conditional test based on the likelihood ratio statistic is particularly simple and has good power properties. Like the score test, it is optimal under the usual local-to-null asymptotics, but it has better power when identification is weak.

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Crossref · 10.1111/1468-0262.00438

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  • This result is loosely parallel to results in the weak identification literature showing that certain procedures control size under weak identification but are efficient under strong identification.

    “We view this result as loosely parallel to results in the weak identification literature showing that certain procedures control size under weak identification but are efficient under strong identification (e.g.Moreira, 2003).”

    From A More Credible Approach to Parallel Trends (2023) · cites this paper as Moreira, 2003

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Authors
Moreira, M. J.
Affiliations
Harvard University (US)
Corresponding author
Moreira, Marcelo J.
Venue
Econometrica
Published
2003-07
Volume
71
Issue
4
Pages
1027-1048
ISSN
  • 0012-9682 (ISSN-L)
  • 1468-0262
OpenAlex
W2123750251
Cited by
796
References
28
Citations by year
2026: 22 · 2025: 31 · 2024: 24 · 2023: 22 · 2022: 29 · 2021: 34 · 2020: 34 · 2019: 37 · 2018: 35 · 2017: 50 · 2016: 38 · 2015: 40 · 2014: 39 · 2013: 47 · 2012: 46
FWCI
29.09
Type
journal article
Language
en
Open access
closed
Locations
  • Econometrica (publishedVersion)
  • LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Científicas) (publishedVersion)
  • Americanae (AECID Library) (submittedVersion)
Topics
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
Keywords
conditional likelihood ratio test, structural equation modeling, simultaneous equations model, weak instruments, score test, weak identification, statistical power, non-normal errors

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