The classical principles of testing using instrumental variables estimates

DOI10.1016/0304-4076(90)90059-3zbMath0693.62093OpenAlexW2071472760MaRDI QIDQ908645

Michael A. Magdalinos

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)90059-3

zbMATH Keywords

likelihood ratio testapproximationWald testlinear restrictionstwo-stage least squaresLagrange multiplier testslimited information maximum likelihoodsmall sampleslocal power functionstochastic regressorsk-class instrumental variables estimationLIML estimatorsize-corrected tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (1)

Instrumental variable analysis with censored data in the presence of many weak instruments: application to the effect of being sentenced to prison on time to employment

Cites Work

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• The likelihood ratio criterion and the asymptotic expansion of its distribution
• Testing the mean of a normal population under dependence
• Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar
• Testing a Subset of Coefficients in a Structural Equation
• Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables
• Selecting the Best Instrumental Variables Estimator
• Some Approximations to the Distribution of Econometric Criteria which are Asymptotically Distributed as Chi-Squared
• An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models
• An asymptotically complete class of tests
• Likelihood ratio and associated test criteria

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