Date of Original Version

5-1977

Type

Response or Comment

Rights Management

http://www.econometricsociety.org/abstract.asp?ref=0012-9682&vid=45&iid=4&aid=0012%2D9682%28197705%2945%3A4%26lt%3B1027%3AACOTTO%26gt%3B2%2E0%2ECO%3B2%2D1

Abstract or Table of Contents

THE TEST OF OVERIDENTIFYING restrictions of one equation in a simultaneous system proposed by Anderson and Rubin [1] and amplified by Koopmans and Hood [7] has been a source of some confusion in the literature. For instance, Liu and Breen [8] claimed that "It is ... clear that the test does not really test the null hypothesis (of zero restrictions on the endogenous and exogenous variables)" because, they thought the restrictions on the endogenous variables were included in the computation of the likelihood under the alternative hypothesis. After Fisher and Kadane [3] gave a verbal argument showing that the test is consistent over a wide class of alternatives, Liu and Breen [9] withdrew their earlier view. Nonetheless there is a problem in that generally the null hypothesis is expressed in terms of the structural form, while generally consistency is a matter of the reduced form. Our purpose is to reexamine this problem, and prove two theorems showing the equivalence of various conditions in the literature. We suggest that the null hypothesis be extended.

Comments

Econometrica, Vol. 45, No.4 (May, 1977) The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org. It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for-profit commercial firm or other commercial purpose without the explicit permission of the Econometric Society.

Share

COinS