Anatolyev, Stanislav; Gospodinov, Nikolay - In: Econometric Theory 27 (2011) 02, pp. 427-441
This paper studies the asymptotic validity of the Anderson–Rubin (<italic>AR</italic>) test and the <italic>J</italic> test for overidentifying restrictions in linear models with many instruments. When the number of instruments increases at the same rate as the sample size, we establish that the conventional <italic>AR</italic> and <italic>J</italic> tests are...
