A reinterpretation of the tests of overidentifying restrictions

DOI10.1016/0304-4076(95)01728-3zbMATH Open0878.62102OpenAlexW2044488684MaRDI QIDQ1126482FDOQ1126482

Authors Michael A. Magdalinos, Spyridon D. Symeonides 

Publication date 5 January 1998

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(95)01728-3

zbMATH Keywords

Monte Carlosimultaneous equation systemCornish-Fisher correctionsEdgeworth approximationsorthogonality restrictions

Mathematics Subject Classification ID

Linear inference, regression (62J99) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• The Local Power of the Tests of Overidentifying Restrictions
• A cautionary note on tests of overidentifying restrictions
• Testing overidentifying restrictions with a restricted parameter space
• Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
• Testing overidentifying restrictions with many instruments and heteroskedasticity

Cites Work

• scientific article; zbMATH DE number 3421754 (Why is no real title available?)
• Almost Unbiased Estimator in Simultaneous Equations Systems
• Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations
• Bayesian Limited Information Analysis of the Simultaneous Equations Model
• Estimation of functions of population means and regression coefficients including structural coefficients. A minimum expected loss (MELO) approach
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• Generalized Asymptotic Expansions of Cornish-Fisher Type
• Large Sample Properties of Generalized Method of Moments Estimators
• Linear Statistical Inference and its Applications
• On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics
• Some Approximations to the Distribution of Econometric Criteria which are Asymptotically Distributed as Chi-Squared
• Some Properties of a Modification of the Limited Information Estimator
• Testing a Subset of Coefficients in a Structural Equation
• The Estimation of Economic Relationships using Instrumental Variables
• The Local Power of the Tests of Overidentifying Restrictions

Cited In (7)

• A cautionary note on tests of overidentifying restrictions
• Title not available (Why is no real title available?)
• Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
• Testing overidentifying restrictions with inefficient estimators
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• The Local Power of the Tests of Overidentifying Restrictions
• Testing overidentifying restrictions with a restricted parameter space

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