Testing exogeneity in overidentified models

DOI10.1007/BF02589031zbMath1446.62303OpenAlexW1998981857MaRDI QIDQ3598252

Renzo Orsi, Nunzio Cappuccio

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589031

zbMATH Keywords

overidentifying restrictionsincomplete modelsexogeneity testslimited information analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• An Independence Test and Conditional Unbiased Predictions in the Context of Simultaneous Equation Systems
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• Maximum Likelihood Estimation of Misspecified Models

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