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Orthogonality Tests in Linear Models

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  • 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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Bibliographic 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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Cited by:
  1. Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," MPRA Paper 47485, University Library of Munich, Germany.
  2. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics, Boston College Department of Economics 667, Boston College Department of Economics, revised 05 Sep 2007.
  3. Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2014. "Identification-Robust Inference for Endogeneity Parameters in Linear Structural Models," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 03-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Jan F. KIVIET & Milan PLEUS, 2012. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 1208, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.

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