Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
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Publication:375034
DOI10.1016/0165-1765(85)90133-8zbMath1273.91385OpenAlexW2022998081MaRDI QIDQ375034
Publication date: 24 October 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(85)90133-8
Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
Related Items (9)
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 ⋮ A test of the independence of subsets of instrumental variables and regressors ⋮ 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 ⋮ Detecting and testing causality in linear econometric models ⋮ A unified approach to estimation and orthogonality tests in linear single-equation econometric models ⋮ Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results
Cites Work
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- On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
- A general approach to Lagrange multiplier model diagnostics
- Exogeneity
- A Remark on Hausman's Specification Test
- Test of Independence between a Subset of Stochastic Regressors and Disturbances
- The Elimination Matrix: Some Lemmas and Applications
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
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