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Orthogonality Tests in Linear Models

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Author Info
Ahn, Seung C
Abstract

This paper considers several tests of orthogonality conditions in linear models where stochastic errors may be heteroskedastic or autocorrelated. It is shown that these tests can be performed with Wald statistics obtained from simple auxiliary regressions. Copyright 1997 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 59 (1997)
Issue (Month): 1 (February)
Pages: 183-86
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Handle: RePEc:bla:obuest:v:59:y:1997:i:1:p:183-86

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049

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  1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
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This page was last updated on 2009-11-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.