Andrews, Donald W.K.; Marmer, Vadim - Cowles Foundation for Research in Economics, Yale University - 2005
This paper introduces a rank-based test for the instrumental variables regression model that dominates the Anderson … distribution of the errors with weak or strong instruments. The test has noticeably higher power than the Anderson-Rubin test when … the error distribution has thick tails and comparable power otherwise. Like the Anderson-Rubin test, the rank tests …