Exact properties of the conditional likelihood ratio test in an IV regression model
Exact properties of the conditional likelihood ratio test in an IV regression model
For a simplified structural equation/IV regression model with one right-side endogenous variable, we derive the exact conditional distribution function of Moreira's (2003) conditional likelihood ratio (CLR) test statistic.This is used to obtain the critical value function needed to implement the CLR test, and reasonably comprehensive graphical versions of this function …