Econometrica Vol. 46 No. 1 1978
A Note on the Use of Durbin's h Tests when the Equation is Estimated by Instrumental Variables
Abstract
THE PURPOSE OF THIS PAPER is to consider the validity of Durbin's [1] h test when the h statistic is calculated from instrumental variable estimates of an autoregressive model. It seems useful to provide such an analysis since h tests based upon instrumental variable results have been reported in the empirical literature (for example, see McCallum [3]). The validity of the h test is investigated by deriving the asymptotic distribution (under the null hypothesis) of an estimator of the first order serial correlation coefficient of the instrumental variable residuals. The variance of this distribution is obtained using methods similar to those employed by Sargan [5, Section 3], and is compared to the value required to justify the h test. The derivation of this variance leads to a valid large sample test procedure. The statistical model examined below is a structural equation from a dynamic stnultaneous equation system, but the results obtained also apply to situations in which no 'unlagged endogenous variables appear in the regressors.
- DOI
- 10.2307/1913659
- Volume
- 46
- Issue
- 1
- Pages
- 225
- Sources
- bibtex:phds-export.bib openalex crossref