This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On Likelihood Ratio Tests of Structural Coefficients: Anderson-Rubin (1949) revisited

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Naoto Kunitomo (Faculty of Economics, University of Tokyo)
T. W. Anderson (Department of Statistics and Department of Economics, Stanford University)
Abstract

We develop the likelihood ratio criterion (LRC) for testing the coefficients of a structural equation in a system of simultaneous equations in econometrics. We relate the likelihood ratio criterion to the AR statistic proposed by Anderson and Rubin (1949, 1950), which has been widely known and used in econometrics over the past several decades. The method originally developed by Anderson and Rubin (1949, 1950) can be modified to the situation when there are many (or weak in some sense) instruments which may have some relevance in recent econometrics. The method of LRC can be extended to the linear functional relationships (or the errors-in-variables) model, the reduced rank regression and the cointegration models.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.e.u-tokyo.ac.jp/cirje/research/dp/2007/2007cf499.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-499.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 32 pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:tky:fseres:2007cf499

Contact details of provider:
Web page: http://www.e.u-tokyo.ac.jp/cirje/index.htm

For technical questions regarding this item, or to correct its listing, contact: ().

Related research
Keywords:

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Theodore W. Anderson & Naoto Kunijtomo & Yukitoshi Matsushita, 2005. "A New Light from Old Wisdoms : Alternative Estimation Methods of Simultaneous Equations and Microeconometric Models," CIRJE F-Series CIRJE-F-321, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  2. Yukitoshi Matsushita, 2007. "Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-466, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  3. Anderson, T. W. & Amemiya, Yasuo, 1991. "Testing dimensionality in the multivariate analysis of variance," Statistics & Probability Letters, Elsevier, vol. 12(6), pages 445-463, December. [Downloadable!] (restricted)
  4. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," NBER Technical Working Papers 0313, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Anderson, T. W. & Kunitomo, Naoto, 1994. "Asymptotic robustness of tests of overidentification and predeterminedness," Journal of Econometrics, Elsevier, vol. 62(2), pages 383-414, June. [Downloadable!] (restricted)
  6. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, vol. 71(4), pages 1027-1048, 07. [Downloadable!] (restricted)
  7. Anderson, T. W. & Kunitomo, Naoto, 1992. "Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 221-243, February. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? Use the JEL tree to browse through the database by subfields.

This page was last updated on 2010-1-4.

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.