General linear hypotheses in a two-stage least squares estimation model

DOI10.1016/0165-1765(91)90032-GMaRDI QIDQ1189334zbMATH OpenOpenAlexFDO

Authors Yu-Sheng Hsu

Publication date 26 September 1992

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(91)90032-g

zbMATH Keywords

Monte Carlo studybootstrap method\(F\)-test\(t\)-testgeneral linear hypothesistwo stage least squares model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

Recommendations

• The asymptotic validity of the F-test in a two-stage least squares model
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• Statistical Properties of the Two-Stage Least Squares Estimator Under Cointegration

Cites work

• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Monte Carlo studies on the effectiveness of the bootstrap bias reduction method on 2SLS estimates

Cited in

(1)

• TWO-stage accurate estimation in the general linear model

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