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

S-Tier
Journal: Review of Economic Studies
Year: 1983
Volume: 50
Issue: 2
Pages: 287-304

Score contribution per author:

8.043 = (α=2.01 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:oup:restud:v:50:y:1983:i:2:p:287-304.
Journal Field
General
Author Count
1
Added to Database
2026-01-25