关于Revankar、Revankar与Hartley以及Wu-Hausman外生性检验的有限样本表现

On the finite sample performance of exogeneity tests of revankar, revankar and hartley and wu-hausman

Econometric Reviews · 1992
被引 11
人大 A-ABS 3

中文导读

比较了三种外生性检验在包含两个或三个内生变量时的表现,发现Revankar检验在集中参数大时最有效,而Revankar与Hartley检验在集中参数小时最有效。

Abstract

In this paper we compare the performance of the exogeneity tests of Revankar, Revankar and Hartley and Wu-Hausman for the cases of two and three included endogenous variables. The distribution and power functions are evaluated using the conditional distributions given in Kariya and Hodoshima. Our results indicate that the Revankar's test is the most powerful for large values of the concentration parameter and the Revankar and Hartley test is the most powerful for small values of the concentration parameter.

外生性检验有限样本表现集中参数检验功效