A unified approach to estimation and orthogonality tests in linear single-equation econometric models

DOI10.1016/0304-4076(90)90072-2MaRDI QIDQ749147zbMATH OpenOpenAlexFDO

Authors M. Hashem Pesaran, Richard J. Smith

Publication date 1990

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(90)90072-2

zbMATH Keywords

exogenous variablesmaximum-likelihood estimationBahadur efficiencyAsymptotic relative efficiencystructural equationinstrument admissibilityinstrumental-variable techniquesOrthognality tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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• On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
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• Rates of Convergence of Estimates and Test Statistics
• Specification Tests in Econometrics
• Stochastic Comparison of Tests
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• Tests of specification in econometrics
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Cited in

(8)

• A Unified Approach to Asymptotic Equivalence of Aitken and Feasible Aitken Instrumental Variables Estimators
• COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
• 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
• A note on variable addition tests for linear and log-linear models
• On the power of tests for superexogeneity and structural invariance
• The classical principles of testing using instrumental variables estimates

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