A unified approach to estimation and orthogonality tests in linear single-equation econometric models
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Publication:749147
DOI10.1016/0304-4076(90)90072-2zbMath0712.62103OpenAlexW1982702552MaRDI QIDQ749147
Richard J. Smith, M. Hashem Pesaran
Publication date: 1990
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(90)90072-2
Bahadur efficiencymaximum-likelihood estimationAsymptotic relative efficiencystructural equationexogenous variablesinstrument admissibilityinstrumental-variable techniquesOrthognality tests
Related Items (5)
Asymptotic robustness of tests of overidentification and predeterminedness ⋮ On the power of tests for superexogeneity and structural invariance ⋮ 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 ⋮ COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
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