Specification Analysis in Equations with Stochastic Regressors

Michael Magdalinos and Helen Kandilorou

Journal of Business & Economic Statistics, 2001, vol. 19, issue 2, 226-32

Abstract: We encompass the (closely related) problems of testing for structural restrictions and for valid orthogonality conditions into a single-equation framework in which the familiar specification techniques of the linear regression model can be applied. Identifying the endogenous variables that induce "simultaneous equation bias" will improve the efficiency of estimation, since only those variables need to be instrumented.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:19:y:2001:i:2:p:226-32

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