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

Neil R. Ericsson

London School of Economics and Political Science

Review of Economic Studies 1983

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.

DOI
10.2307/2297417
Volume
50 (2)
Pages
287
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