MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01842nam a22002297a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20240402125634.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
240402b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 1# - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB139T.52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hillier, Grant H |
| Relator term |
author |
| 245 17 - TITLE STATEMENT |
|---|
| Title |
On the conditional likelihood ratio test for several parameters in iv regression |
| Statement of responsibility, etc. |
by Grant Hillier |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009 |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 2 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
For the problem of testing the hypothesis that all m coefficients of the right-hand-side endogenous variables in an instrumental variables (IV) regression are zero, the likelihood ratio (LR) test can, if the reduced form covariance matrix is known, be rendered similar by a conditioning argument. To exploit this fact requires knowledge of the relevant conditional cumulative distribution function (c.d.f.) of the LR statistic, but the statistic is a function of the smallest characteristic root of an (m + 1)-square matrix and is therefore analytically difficult to deal with when m > 1. We show in this paper that an iterative conditioning argument used by Hillier (2009) and Andrews, Moreira, and Stock (2007 Journal of Econometrics 139, 116–132) to evaluate the c.d.f. in the case m = 1 can be generalized to the case of arbitrary m. This means that we can completely bypass the difficulty of dealing with the smallest characteristic root. Analytic results are obtained for the case m = 2, and a simple and efficient simulation approach to evaluating the c.d.f. is suggested for larger values of m. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Estimation theory |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
10.1017/S0266466608090105 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |