Testing exogeneity in overidentified models |
| |
Authors: | Nunzio Cappuccio Renzo Orsi |
| |
Institution: | (1) Università di Padova, Padova, Italia;(2) Università di Bologna, Bologna, Italia;(3) Dipartimento di Scienze Economiche, Strada Maggiore, 45, I-40125 Bologna |
| |
Abstract: | Summary In this paper we analyse the consequences of model overidentification on testing exogeneity, when maximum likelihood techniques
for estimation and inference are used. This situation is viewed as a particular case of the more general problem of considering
how restrictions on nuisance parameters could help in making inference on the parameters of interest. At first a general model
is considered. A suitable likelihood function factorization is used which allows a simple derivation of the information matrix
and others tools useful for building up joint tests of exogeneity and overidentifying restrictions both of Wald and Lagrange
Multiplier type. The asymptotic local power of the exogeneity test in the justidentified model is compared with that in the
overidentified one, when we assume that the latter is the true model. Then the pseudo-likelihood framework is used to derive
the consequences of working with a model where overidentifying restrictions are erroneously imposed. The inconsistency introduced
by imposing false restrictions is analysed and the consequences of the misspecification on the exogeneity test are carefully
examined. |
| |
Keywords: | Exogeneity Tests Incomplete Models Limited Information Analysis Overidentifying Restrictions JEL subject classification: 211 |
本文献已被 SpringerLink 等数据库收录! |
|