Testing Recursiveness in a Triangular Simultaneous Equation Model
In applied work in macroeconomics using simultaneous equation systems relationships between variables are sometimes described by means of a triangular model. However, in a simultaneous equation sprit the a priori assumption of full recursivity is typically not made. The purpose of this paper is to suggest a recursiveness test for models which are already written in a triangular form. It is a score test (Rao (1948)) applied to the concentrated likelihood function, which is equivalent to Neyman's C test (1959). As indicated in Holly (1978) this type of procedure is quite general and can be applied to a large variety of test model specif9cation. It is based on estimators of the model under null hypothesis, which are, in the particular case of the recursity test the O.L.S. estimators of each structural equation.
|Date of creation:||1979|
|Contact details of provider:|| Postal: CV4 7AL COVENTRY|
Phone: +44 (0) 2476 523202
Fax: +44 (0) 2476 523032
Web page: http://www2.warwick.ac.uk/fac/soc/economics/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:wrk:warwec:154. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Margaret Nash)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.