Some Approximations to the Distribution of Econometric Criteria which are Asymptotically Distributed as Chi-Squared

DOI10.2307/1912174zbMath0467.62093OpenAlexW2096220897MaRDI QIDQ3920517

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Publication date: 1980

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912174

zbMATH Keywords

two-stage least squaresasymptotic chi squaresingle equation modelasymptotic tests of significanceGram-Charlier type approximationstesting misspecificationweighted sum of chi-squared distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Asymptotic properties of parametric tests (62F05)

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Monte Carlo response surfaces: A comparative approach ⋮ VISION AND INFLUENCE IN ECONOMETRICS: JOHN DENIS SARGAN ⋮ A reinterpretation of the tests of overidentifying restrictions ⋮ The classical principles of testing using instrumental variables estimates

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