Elsevier

Journal of Econometrics

Volume 44, Issues 1–2, April–May 1990, Pages 41-66
Journal of Econometrics

A unified approach to estimation and orthogonality tests in linear single-equation econometric models☆

https://doi.org/10.1016/0304-4076(90)90072-2Get rights and content

Abstract

Maximum-likelihood estimation is considered for a generalisation of the model of Anderson and Rubin (1949) in which the exogenous variables in the structural equation may not be included in the reduced-form equations. Classical and specification tests are derived for orthogonality hypotheses. A necessary and sufficient condition for their equivalence is presented. The classical tests are compared using Bahadur's asymptotic relative efficiency criterion. It is shown that a generalisation of the Durbin-Wu-Hausman T2 statistics is asymptotically Bahadur-efficient.

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    ☆

    The authors are grateful to Les Godfrey, Alberto Holly, Peter Phillips, and anonymous referees for their helpful comments on an earlier version of this paper.

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