Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation

DOI10.1016/0165-1765(85)90133-8zbMATH Open1273.91385OpenAlexW2022998081MaRDI QIDQ375034FDOQ375034

Authors: Richard J. Smith 

Publication date: 24 October 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(85)90133-8

Recommendations

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• Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cites Work

• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• A general approach to Lagrange multiplier model diagnostics
• Exogeneity
• Title not available (Why is that?)
• A Remark on Hausman's Specification Test
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• Test of Independence between a Subset of Stochastic Regressors and Disturbances
• The Elimination Matrix: Some Lemmas and Applications

Cited In (18)

• The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Tests of overidentification and predeterminedness in simultaneous equation models
• Asymptotic robustness of tests of overidentification and predeterminedness
• Wald Tests and Systems of Stochastic Equations
• Classical tests for contemporaneously uncorrelated disturbances in the linear simultaneous equations model
• Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
• On tests of independence between stochastic regressors and disturbances
• A unified approach to estimation and orthogonality tests in linear single-equation econometric models
• A Note on Likelihood Ratio Tests for the Independence between a Subset of Stochastic Regressors and Disturbances
• An aspect of the Wald test for linear restrictions in the seemingly unrelated regressions model
• A test of the independence of subsets of instrumental variables and regressors
• Detecting and testing causality in linear econometric models
• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• A large-sample Chow test for the linear simultaneous equation
• The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors
• Robust Wald Tests in Sur Systems with Adding-up Restrictions

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