{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,6,23]],"date-time":"2024-06-23T18:40:24Z","timestamp":1719168024952},"reference-count":13,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2017,4,21]],"date-time":"2017-04-21T00:00:00Z","timestamp":1492732800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2017,6]]},"abstract":"<jats:p>Consider testing the null hypothesis that a single structural equation has specified coefficients. The alternative hypothesis is that the relevant part of the reduced form matrix has proper rank, that is, that the equation is identified. The usual linear model with normal disturbances is invariant with respect to linear transformations of the endogenous and of the exogenous variables. When the disturbance covariance matrix is known, it can be set to the identity, and the invariance of the endogenous variables is with respect to orthogonal transformations. The likelihood ratio test is invariant with respect to these transformations and is the best invariant test. Furthermore it is admissible in the class of all tests. Any other test has lower power and\/or higher significance level. In particular, this likelihood ratio test dominates a test based on the Two-Stage Least Squares estimator.<\/jats:p>","DOI":"10.1017\/s0266466616000542","type":"journal-article","created":{"date-parts":[[2017,4,21]],"date-time":"2017-04-21T10:31:06Z","timestamp":1492770666000},"page":"534-550","source":"Crossref","is-referenced-by-count":0,"title":["ADMISSIBLE SIGNIFICANCE TESTS IN SIMULTANEOUS EQUATION MODELS"],"prefix":"10.1017","volume":"33","author":[{"given":"Theodore W.","family":"Anderson","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2017,4,21]]},"reference":[{"key":"S0266466616000542_ref13","volume-title":"Statistical Foundations for Econometric Techniques.","author":"Zaman","year":"1996"},{"key":"S0266466616000542_ref7","first-page":"7","article-title":"Testing a hypothesis about a structural coefficient in a simultaneous equation model for known covariance matrix (In honor of Raul P. Mentz)","volume":"61","author":"Anderson","year":"2009","journal-title":"Estadistica"},{"key":"S0266466616000542_ref3","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1214\/aos\/1176346390","article-title":"The 1982 Wald Memorial Lectures: Estimating linear statistical relationships","volume":"12","author":"Anderson","year":"1984","journal-title":"Annals of Statistics"},{"key":"S0266466616000542_ref8","doi-asserted-by":"crossref","first-page":"46","DOI":"10.1214\/aoms\/1177730090","article-title":"Estimation of the parameters of a single equation in a complete system of stochastic equations","volume":"20","author":"Anderson","year":"1949","journal-title":"Annals of Mathematical Statistics"},{"key":"S0266466616000542_ref1","volume-title":"Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables","author":"Abramowitz","year":"1972"},{"key":"S0266466616000542_ref10","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1111\/j.2517-6161.1956.tb00211.x","article-title":"Confidence limits for the gradient in the linear functional relationship","volume":"18","author":"Creasy","year":"1956","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"S0266466616000542_ref2","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1111\/j.2517-6161.1976.tb01562.x","article-title":"Estimation of linear functional relationships: Approximate distributions and connections with simultaneous equations in econometrics","volume":"38","author":"Anderson","year":"1976","journal-title":"Journal of the Royal Statististical Society Series B"},{"key":"S0266466616000542_ref4","volume-title":"An Introduction to Multivariate Statistical Analysis","author":"Anderson","year":"2003"},{"key":"S0266466616000542_ref12","doi-asserted-by":"crossref","first-page":"1027","DOI":"10.1111\/1468-0262.00438","article-title":"A conditional likelihood ratio test for structural models","volume":"71","author":"Moreira","year":"2003","journal-title":"Econometrica"},{"key":"S0266466616000542_ref9","doi-asserted-by":"crossref","first-page":"526","DOI":"10.1214\/aos\/1176349536","article-title":"Best invariant estimation of a direction parameter","volume":"13","author":"Anderson","year":"1985","journal-title":"Annals of Statistics"},{"key":"S0266466616000542_ref6","unstructured":"Anderson, T.W. & Kunitomo, N. (2007) On Likelihood Ratio Tests of Structural Coefficients: Anderson\u2013Rubin (1949) Revisited. URL http:\/\/www.cirje.e.u-tokyo.ac.jp\/research\/dp\/2007\/2007cf499.pdf. Discussion Paper CIRJE-F-499."},{"key":"S0266466616000542_ref5","doi-asserted-by":"crossref","first-page":"345","DOI":"10.1214\/aoms\/1177731206","article-title":"Some extensions of the Wishart distribution","volume":"15","author":"Anderson","year":"1944","journal-title":"Annals of Mathematical Statistics"},{"key":"S0266466616000542_ref11","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-1923-9","volume-title":"Testing Statistical Hypotheses","author":"Lehmann","year":"1986"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466616000542","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,23]],"date-time":"2024-06-23T18:17:37Z","timestamp":1719166657000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466616000542\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,4,21]]},"references-count":13,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2017,6]]}},"alternative-id":["S0266466616000542"],"URL":"https:\/\/doi.org\/10.1017\/s0266466616000542","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2017,4,21]]}}}