CIRJE-F-588 "Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity"
Author Name Kunitomo, Naoto and Yukitoshi Matsushita
Date September 2008
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Anderson and Kunitomo (2007) have developed the likelihood ratio criterion, which is called the Rank-Adjusted Anderson-Rubin (RAAR) test, for testing the coefficients of a structural equation in a system of simultaneous equations in econometrics against the alternative hypothesis that the equation of interest is identified. It is related to the statistic originally proposed by Anderson and Rubin (1949, 1950), and also to the test procedures by Kleibergen (2002) and Moreira (2003). We propose a modified procedure of RAAR test, which is suitable for the cases when there are many instruments and the disturbances have persistent heteroscedasticities