A unified approach to estimation and orthogonality tests in linear single-equation econometric models (Q749147)

The paper starts with the basic consideration that the use of instrumental-variable techniques must consider the two aspects of admissibility and efficiency of the instruments. A unified treatment of the dual problem of instrument admissibility and efficiency is then presented in the sections: 2. Formulation of the problem: A likelihood framework. 3. Maximum- likelihood and other estimators. 4. Orthognality tests. 5. Comparisons between classical and specification test statistics. 6. Asymptotic relative efficiency of orthogonality tests by Bahadur's approach. 7. Concluding remarks. The proofs are summarized in four appendices.