Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-Nested Hypotheses
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Publication:4271323
DOI10.2307/2938367zbMath0779.62105MaRDI QIDQ4271323
Publication date: 9 January 1994
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2938367
dynamics; power; size; test of over-identifying restrictions; simultaneity; response surfaces; dynamic simultaneous equations model; \(F\) form of the Wald statistic; Cox-type test; finite sample properties of instrumental variables statistics; nested and non-nested hypotheses; numerical-analytical formulae
62P20: Applications of statistics to economics
62F03: Parametric hypothesis testing
65C05: Monte Carlo methods
65C99: Probabilistic methods, stochastic differential equations
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