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Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses - MaRDI portal

Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses

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Publication:4271323

DOI10.2307/2938367zbMath0779.62105OpenAlexW2066492718MaRDI QIDQ4271323

Neil R. Ericsson

Publication date: 9 January 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938367


zbMATH Keywords

dynamicspowersizetest of over-identifying restrictionssimultaneityresponse surfacesdynamic simultaneous equations model\(F\) form of the Wald statisticCox-type testfinite sample properties of instrumental variables statisticsnested and non-nested hypothesesnumerical-analytical formulae


Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)


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