Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/64678 
Authors: 
Year of Publication: 
2010
Series/Report no.: 
cemmap working paper No. CWP18/10
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
Consider testing the null hypothesis that a single structural equation has specified coefficients. The alternative hypothesis is that the relevant part of the reduced form matrix has proper rank, that is, that the equation is identified. The usual linear model with normal disturbances is invariant with respect to linear transformations of the endogenous and of the exogenous variables. When the disturbance covariance matrix is known, it can be set to the identity, and the invariance of the endogenous variables is with respect to orthogonal transformations. The likelihood ratio test is invariant with respect to these transformations and is the best invariant test. Furthermore it is admissible in the class of all tests. Any other test has lower power and/or higher significance level.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
199.55 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.