Higher-Order Approximations to the Null Distributions of Test Statistics for Nonlinear Restrictions on Regression Coefficients
Asymptotic expansions of the distributions of likelihood ratio and Lagrange multiplier test statistics for nonlinear restrictions on regression coefficients are derived under the null hypothesis. Nonlinear restrictions include, as a special case, the identifiability restrictions in the simultaneous equations models. Our analyses of simultaneous equations deal not only with single equations but also subsystems and complete systems. The asymptotic expansions we derive are informative about deviations of the real size of test from the nominal asymptotic size.
Volume (Year): 4 (1988)
Issue (Month): 02 (August)
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