Some results on the finite sample significance levels of instrumental variable tests for non-nested models

DOI10.1016/0165-1765(89)90026-8zbMath1376.62098OpenAlexW1977160529MaRDI QIDQ1676638

Leslie G. Godfrey, Simon P. Burke

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(89)90026-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Tests for model specification in the presence of alternative hypotheses
• Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
• Testing a Subset of Coefficients in a Structural Equation
• Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing Non-Nested Models After Estimation by Instrumental Variables or Least Squares
• On the General Problem of Model Selection
• The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems

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