On weak exogeneity of the student's t and elliptical linear regression models

Jiro Hodoshima

No 601, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper studies weak exogeneity of conditioning variables for the inference of a subset of parameters of the conditional student's t and elliptical linear regression models considered by Spanos (1994). Weak exogeneity of the conditioning variables is shown to hold for the inference of regression parameters of the conditional student's t and elliptical linear regression models. A new definition of weak exogeneity is given which utilizes block-diagonality of the conditional information matrix. A simulation experiment is made to compare the full-likelihood and conditional maximum likelihood estimators in finite samples for the conditional student's t linear regression model. The conditional maximum likelihood estimator of the regression parameters is found to work well in finite samples.

Keywords: weak exogeneity; nonnormality; block-diagonality of conditional information matrix; elliptical distribution (search for similar items in EconPapers)
JEL-codes: C10 C13 C16 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:601

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