Asymptotically Optimal Tests Using Limited Information and Testing for Exogeneity

Richard J. Smith ()

Econometric Theory, 1994, vol. 10, issue 01, pages 53-69

Abstract: By appropriately partitioning the joint hypothesis of weak exogeneity and the maintained overidentifying restrictions in the linear dynamic simultaneous equations model and showing that the component subhypotheses are separable, asymptotically optimal tests for the weak exogeneity hypothesis may be constructed using limited information statistics. A necessary and sufficient condition for the separability of parametric hypotheses of the mixed implicit function and constraint equation type is derived which generalizes conditions previously obtained in the literature. Consequently, limited and full information procedures for testing the weak exogeneity hypothesis are asymptotically equivalent. The impact of these results for testing strong exogeneity in the linear dynamic simultaneous equations model is also explored.

Date: 1994

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600008227 link to article abstract page (text/html)

Related works:
Working Paper: ASYMPTOTICALLY OPTIMAL TESTS USING LIMITED INFORMATION AND TESTING FOR EXOGENEITY (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:10:y:1994:i:01:p:53-69_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().