Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses

Neil Ericsson

The Review of Economic Studies, 1983, vol. 50, issue 2, 287-304

Abstract: This paper develops Instrumental Variables statistics for testing non-nested hypotheses when the hypotheses considered are single equations from a system of linear dynamic simultaneous equations. Asymptotic distributions of those statistics and of comparable Maximum Likelihood statistics are derived under the null hypothesis, a local non-nested alternative hypothesis, and a local "comprehensive" alternative hypothesis. The asymptotic powers of the non-nested hypothesis tests are compared with those of tests of nested hypotheses, and a numerical application is given.

Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:50:y:1983:i:2:p:287-304.

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