A reinterpretation of the tests of overidentifying restrictions
| dc.contributor.author | Symeonides, S. | en |
| dc.contributor.author | Magdalinos, M. | en |
| dc.date.accessioned | 2015-11-24T17:05:15Z | |
| dc.date.available | 2015-11-24T17:05:15Z | |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/11288 | |
| dc.rights | Default Licence | - |
| dc.subject | cornish-fisher corrections | en |
| dc.subject | edgeworth approximations | en |
| dc.subject | monte carlo | en |
| dc.subject | orthogonality restrictions | en |
| dc.subject | simultaneous equation system | en |
| dc.subject | jel classification | en |
| dc.subject | c-12 | en |
| dc.subject | c-15 | en |
| dc.title | A reinterpretation of the tests of overidentifying restrictions | en |
| heal.abstract | The Anderson-Rubin-Sargan-Basmann tests are usually considered as testing the validity of overidentifying structural restrictions. In this paper we show that a more eligible interpretation is that they test the validity of overidentifying orthogonality conditions. The tests are second-order unbiased against the latter alternative, while under the first alternative there is a subset of the parameter space where the tests are biased. The third-order local power under the alternative of false orthogonality conditions is derived, and is used to find the implicit null hypothesis of the tests and to propose a more informative interpretation. Several methods of size correction are compared by Monte Carlo experiments. | en |
| heal.access | campus | - |
| heal.fullTextAvailability | TRUE | - |
| heal.journalName | Journal of Econometrics | en |
| heal.journalType | peer reviewed | - |
| heal.language | en | - |
| heal.publicationDate | 1996 | - |
| heal.publisher | Elsevier | en |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | journalArticle | - |
| heal.type.el | Άρθρο Περιοδικού | el |
| heal.type.en | Journal article | en |
Αρχεία
Φάκελος/Πακέτο αδειών
1 - 1 of 1
Φόρτωση...
- Ονομα:
- license.txt
- Μέγεθος:
- 1.74 KB
- Μορφότυπο:
- Item-specific license agreed upon to submission
- Περιγραφή: