A unified approach to estimation and orthogonality tests in linear single-equation econometric models
MH Pesaran, RJ Smith
Journal of Econometrics | Published : 1990
Maximum-likelihood estimation is considered for a generalisation of the model of Anderson and Rubin (1949) in which the exogenous variables in the structural equation may not be included in the reduced-form equations. Classical and specification tests are derived for orthogonality hypotheses. A necessary and sufficient condition for their equivalence is presented. The classical tests are compared using Bahadur's asymptotic relative efficiency criterion. It is shown that a generalisation of the Durbin-Wu-Hausman T2 statistics is asymptotically Bahadur-efficient. © 1990.