Test in a Structural Equation

Kimio Morimune

Econometrica, 1989, vol. 57, issue 6, 1341-60

Abstract: Properties of t ratios associated with the limited information maximum likelihood, two-stage least squares, and ordinary least squares estimators in a structural form estimation are studied. The existence of moments of these t ratios, including the limited information maximum likelihood form, is proved first. Second, Monte Carlo simulations are performed to find out real sizes of the t test and the likelihood ratio test. Third, asymptotic expansions of the distributions of t ratios are derived to find out deviations of real sizes from nominal sizes. The t ratios associated with the limited information maximum likelihood and two-stage least squares estimators are proved asymptotically as powerful as the likelihood ratio test. Copyright 1989 by The Econometric Society.

Date: 1989
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