Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses

DOI10.2307/2297417MaRDI QIDQ3311549zbMATH OpenOpenAlexFDO

Authors Neil R. Ericsson

Publication date 1983

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2297417

zbMATH Keywords

asymptotic powersinstrumental variables statisticslinear dynamic simultaneous equationsmaximum likelihood estimatornon-nested hypotheses

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Applications of statistics to economics (62P20)

Cited in

(4)

• Statistical inference in non-nested econometric models
• Some results on the finite sample significance levels of instrumental variable tests for non-nested models
• A comparison of nonnested tests for misspecified models using the method of approximate slopes
• Testing non-nested log-linear models with pseudo estimator

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