Testing Overidentifying Restrictions when the Disturbances are Small
- 1 March 1970
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 65 (329) , 182
- https://doi.org/10.2307/2283585
Abstract
Natural test statistics for the hypothesis that an equation is overidentified have been developed by Anderson and Rubin and by Basmann. If the disturbances are jointly normal, serially uncorrected, and small, both the above overidentification test statistics have the Fisher variance-ratio distribution asymptotically as the variance of the error terms gets small. This gives an analytic explanation of Monte Carlo results of Basmann. The results given apply to linear models in which predetermined variables are exogenous.Keywords
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