A UNIFIED APPROACH TO ESTIMATION AND ORTHOGONALITY TESTS IN LINEAR SINGLE-EQUATION ECONOMETRIC-MODELS

被引：21
|
作者：
PESARAN, MH
SMITH, RJ
机构：
[1] UNIV CALIF LOS ANGELES, LOS ANGELES, CA 90024 USA
[2] UNIV MANCHESTER, MANCHESTER M13 9PL, LANCS, ENGLAND
来源：
JOURNAL OF ECONOMETRICS | 1990年 / 44卷 / 1-2期
关键词：
D O I：
10.1016/0304-4076(90)90072-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Maximum-likelihood estimation is considered for a generalisation of the model of Anderson and Rubin (1949) in which the exogenous variables in the structural equation may not be included in the reduced-form equations. Classical and specification tests are derived for orthogonality hypotheses. A necessary and sufficient condition for their equivalence is presented. The classical tests are compared using Bahadur's asymptotic relative efficiency criterion. It is shown that a generalisation of the Durbin-Wu-Hausman T2 statistics is asymptotically Bahadur-efficient. © 1990.
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页码：41 / 66
页数：26
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