ON THE CONDITIONAL LIKELIHOOD RATIO TEST FOR SEVERAL PARAMETERS IN IV REGRESSION
نویسندگان
چکیده
منابع مشابه
On the conditional likelihood ratio test for several parameters in IV regression
For the problem of testing the hypothesis that all m coefficients of the righthand-side endogenous variables in an IV regression are zero, the likelihood ratio (LR) test can, if the reduced form covariance matrix is known, be rendered similar by a conditioning argument. To exploit this fact requires knowledge of the relevant conditional cdf of the LR statistic, but the statistic is a function o...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2009
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466608090105