A Note on Likelihood Ratio Tests for the Independence between a Subset of Stochastic Regressors and Disturbances

DOI10.2307/2648879zbMath0537.62097OpenAlexW2058144970MaRDI QIDQ3323107

Richard J. Smith

Publication date: 1984

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2648879

zbMATH Keywords

asymptotic efficiencyalgebraic factorization of the likelihood ratio statisticindependence of stochastic regressors and disturbances

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

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Asymptotic robustness of tests of overidentification and predeterminedness ⋮ The maximum number of parameters for the Hausman test when the estimators are from different sets of equations ⋮ Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory ⋮ Tests of overidentification and predeterminedness in simultaneous equation models ⋮ A unified approach to estimation and orthogonality tests in linear single-equation econometric models ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results

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