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

Authors
Journal
Journal of Econometrics
0304-4076
Publisher
Elsevier
Publication Date
Volume
44
Identifiers
DOI: 10.1016/0304-4076(90)90072-2
Disciplines
  • Mathematics

Abstract

Abstract 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 T 2 statistics is asymptotically Bahadur-efficient.

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