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

non-nested hypothesesmaximum likelihood estimatorasymptotic powersinstrumental variables statisticslinear dynamic simultaneous equations

Mathematics Subject Classification ID

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

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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