Specification tests in simultaneous equations systems

DOI10.1016/0304-4076(94)90057-4zbMath0808.62102OpenAlexW2067758330MaRDI QIDQ1341189

Phoebus J. Dhrymes

Publication date: 2 January 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90057-4

zbMATH Keywords

Monte Carlo studyspecification testssimultaneous equationsconformityLagrange multiplier testsHausman testrestricted least squaresgeneral linear structural econometric modelGLSEMidentification testsnew derivation of 2SLS and 3SLS estimatorsprior restrictionsrestricted generalized least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Linear inference, regression (62J99)

Related Items (3)

Identification and Kullback information in the GLSEM ⋮ Phoebus J. Dhrymes (1932–2016) ⋮ Editorial introduction

Cites Work

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• The Power of an F-Test in the Context of a Structural Equation
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The Asymptotic Properties of Estimates of the Parameters of a Single Equation in a Complete System of Stochastic Equations

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