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

DOI10.1016/0304-4076(90)90072-2zbMATH Open0712.62103OpenAlexW1982702552MaRDI QIDQ749147FDOQ749147

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Linear Statistical Inference and its Applications
• Generalized method of moments specification testing
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Cited In (7)

• 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
• On the power of tests for superexogeneity and structural invariance
• The classical principles of testing using instrumental variables estimates
• A Unified Approach to Asymptotic Equivalence of Aitken and Feasible Aitken Instrumental Variables Estimators

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