Exogeneity tests, weak identification, incomplete models and non-Gaussian distributions: Invariance and finite-sample distributional theory
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More about this item
Keywords
Exogeneity; Durbin-Wu-Hausman test; weak instrument; incomplete model; non-Gaussian; weak identification; identification robust; finite-sample theory; pivotal; invariance; Monte Carlo test; power;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-02-04 (Econometrics)
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