摘要翻译：
在一个工具变量模型中，得分统计量可以对参数空间中的任何选择有界。这些区域涉及对第一阶段回归系数和约化形式协方差矩阵的约束。因此，拉格朗日乘子检验可以有接近大小的幂，尽管在标准渐近下是有效的。这种信息损失限制了仅使用Anderson-Rubin和分数统计量的条件检验的能力。条件拟似然比检验也遭受了严重的损失，因为它对任何选择都是有界的。发生剧烈功率损失的一个必要条件是约简型协方差矩阵的厄米特具有相反符号的特征值。这些情况称为不可能设计(ID)。通过将我们的理论应用于跨期替代弹性(IES)的推断问题，我们证明了这种情况在实践中是发生的。在Yogo(2004)和Andrews(2016)研究的11个国家中，有9个国家与ID的一致性达到95%。
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英文标题：
《Efficiency Loss of Asymptotically Efficient Tests in an Instrumental
  Variables Regression》
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作者：
Marcelo J. Moreira, Geert Ridder
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最新提交年份：
2021
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分类信息：

一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
  In an instrumental variable model, the score statistic can be bounded for any alternative in parts of the parameter space. These regions involve a constraint on the first-stage regression coefficients and the reduced-form covariance matrix. Consequently, the Lagrange Multiplier test can have power close to size, despite being efficient under standard asymptotics. This information loss limits the power of conditional tests which use only the Anderson-Rubin and the score statistic. The conditional quasi-likelihood ratio test also suffers severe losses because it can be bounded for any alternative.   A necessary condition for drastic power loss to occur is that the Hermitian of the reduced-form covariance matrix has eigenvalues of opposite signs. These cases are denoted impossibility designs (ID). We show this happens in practice, by applying our theory to the problem of inference on the intertemporal elasticity of substitution (IES). Of eleven countries studied by Yogo (2004} and Andrews (2016), nine are consistent with ID at the 95\% level.
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PDF链接：
https://arxiv.org/pdf/2008.13042