Hypothesis Testing with Efficient Method of Moments Estimation
为有效矩估计方法定义了类似极大似然估计的四种检验统计量，证明它们在允许自相关和异方差的环境下渐近等价，并给出线性模型中检验线性假设的便捷方法。
Efficient method of moments estimation techniques include many commonly used techniques, including ordinary least squares, two- and three-stage least squares, quasi maximum likelihood, and versions of these for nonlinear environments. For models estimated by any efficient method of moments technique, the authors define analogues to the maximum likelihood based Wald, likelihood ratio, Lagrange multiplier, and minimum chi-squared statistics. They prove the mutual asymptotic equivalence of the four in an environment that allows for disturbances that are auto correlated and heteroskedastic. They also describe a very convenient way to test a linear hypothesis in a linear model. Copyright 1987 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.