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Media type:
E-Article
Title:
Exact Density Functions and Approximate Critical Regions for Likelihood Ratio Identifiability Test Statistics
Contributor:
Rhodes,, George F.
Published:
The Econometric Society, 1981
Published in:
Econometrica, 49 (1981) 4, Seite 1035-1055
Language:
English
ISSN:
1468-0262;
0012-9682
Origination:
Footnote:
Description:
The exact finite-sample density function of the likelihood ratio (LR) test of overidentifying restrictions in linear equations with any number of included endogenous and exogenous variables is presented, along with its derivation. Properties of the density function and the LR test are presented and discussed. A new approximation for the LR test critical region is proposed and studied.