Abstract
Abstract In the estimation of econometric simultaneous equations models, hypothesized necessary conditions for the identifiability of a single equation usually specify the exclusion of a number of variables from the structural equation in question. If the pre-determined variables are completely exogenous, if the disturbances in the equations are jointly normally distributed, and if a moderately high degree of precision can be obtained in reduced-form estimation, then the exact finite sample distribution of the generalized classical linear identifiability test statistic can be closely approximated by Snedecor's F with appropriate degrees of freedom.
Keywords
IdentifiabilityMathematicsApplied mathematicsDegrees of freedom (physics and chemistry)Test statisticStatisticStatisticsSampling distributionSample (material)Distribution (mathematics)Statistical hypothesis testingMathematical analysis
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Publication Info
- Year
- 1960
- Type
- article
- Volume
- 55
- Issue
- 292
- Pages
- 650-659
- Citations
- 450
- Access
- Closed
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Cite This
R. L. Basmann
(1960).
On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics.
Journal of the American Statistical Association
, 55
(292)
, 650-659.
https://doi.org/10.1080/01621459.1960.10483365
Identifiers
- DOI
- 10.1080/01621459.1960.10483365