Testing exogeneity in overidentified models

DOI10.1007/BF02589031zbMATH Open1446.62303OpenAlexW1998981857MaRDI QIDQ3598252FDOQ3598252

Authors: Nunzio Cappuccio, Renzo Orsi 

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589031

Recommendations

• Tests of overidentification and predeterminedness in simultaneous equation models
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• On testing overidentifying restrictions in dynamic panel data models
• Testing exogeneity in a probit model
• Testing overidentifying restrictions with inefficient estimators
• Testing for exogeneity in threshold models
• Tests for overidentifying restrictions in factor-augmented VAR models

zbMATH Keywords

overidentifying restrictionsincomplete modelsexogeneity testslimited information analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Maximum Likelihood Estimation of Misspecified Models
• Title not available (Why is that?)
• Structural time series modeling: A Bayesian approach
• The Estimation of Economic Relationships using Instrumental Variables
• On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
• A general approach to Lagrange multiplier model diagnostics
• Title not available (Why is that?)
• On Testing More than One Hypothesis
• Exogeneity
• Information Criteria for Discriminating Among Alternative Regression Models
• CONDITIONING IN DYNAMIC MODELS
• The Elimination Matrix: Some Lemmas and Applications
• Asymptotic Relative Efficiency Analysis of Certain Test of Independence in Structural Systems
• An Independence Test and Conditional Unbiased Predictions in the Context of Simultaneous Equation Systems
• Title not available (Why is that?)
• The Econometric Analysis of Economic Time Series
• A Comparison of Tests of Overidentifying Restrictions
• Title not available (Why is that?)

Cited In (5)

• Effects on inference of pretesting the exogeneity of a regressor
• Title not available (Why is that?)
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Testing exogeneity in a probit model
• A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS

This page was built for publication: Testing exogeneity in overidentified models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3598252)