A test of the independence of subsets of instrumental variables and regressors

DOI10.1016/0165-1765(86)90198-9zbMATH Open1328.62630OpenAlexW2061838145WikidataQ126422906 ScholiaQ126422906MaRDI QIDQ899847FDOQ899847

Authors: Mark S. McNulty 

Publication date: 1 January 2016

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

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90198-9

Recommendations

• Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
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• On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
• The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors
• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics

Cited In (3)

• On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
• On tests of independence between stochastic regressors and disturbances
• Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation

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