Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses
针对线性动态联立方程组中的单一方程，开发了检验非嵌套假设的工具变量统计量，推导了其渐近分布，并与最大似然统计量比较了渐近功效，给出了数值应用。
This paper develops Instrumental Variables statistics for testing non-nested hypotheses when the hypotheses considered are single equations from a system of linear dynamic simultaneous equations. Asymptotic distributions of those statistics and of comparable Maximum Likelihood statistics are derived under the null hypothesis, a local non-nested alternative hypothesis, and a local "comprehensive" alternative hypothesis. The asymptotic powers of the non-nested hypothesis tests are compared with those of tests of nested hypotheses, and a numerical application is given.