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Testing Linear Restrictions on Coefficients in a Linear Regression Model with Proxy Variables and Spherically Symmetric Disturbances

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  • Ohtani, Kazuhiro
  • Giles, Judith A.

Abstract

In this paper we consider the power function of the classical F test for linear restrictions on the coefficients in a linear regression model with spherically symmetric disturbances when proxies are used in the place of unobservable regressors. We numerically evaluate the power function assuming multivariate Student-t (Mt) regression disturbances in a simple univariate regression model. Our results show the effects on the power function of the degrees of freedom of the Mt distribution and of the correlation between the omitted and the proxy variable.

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Handle: RePEc:ags:canzdp:262998
DOI: 10.22004/ag.econ.262998
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