Testing Linear Restrictions on Coefficients in a Linear Regression Model with Proxy Variables and Spherically Symmetric Disturbances

In this paper we consider the power function of the classical F test for linear restrictions on the coefficients in a linear regression model with spherically symmetric disturbances when proxies are used in the place of unobservable regressors. We numerically evaluate the power function assuming multivariate Student-t (Mt) regression disturbances in a simple univariate regression model. Our results show the effects on the power function of the degrees of freedom of the Mt distribution and of the correlation between the omitted and the proxy variable.


Issue Date:
Oct 10 1990
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
29
Series Statement:
9011




 Record created 2017-09-12, last modified 2017-09-12

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