Econometrica: Jul 1981, Volume 49, Issue 4

Exact Density Functions and Approximate Critical Regions for Likelihood Ratio Identifiability Test Statistics

https://doi.org/0012-9682(198107)49:4<1035:EDFAAC>2.0.CO;2-T
p. 1035-1055

George F. Rhodes, Jr.

The exact finite-sample density function of the likelihood ratio (LR) test of overidentifying restrictions in linear equations with any number of included endogenous and exogenous variables is presented, along with its derivation. Properties of the density function and the LR test are presented and discussed. A new approximation for the LR test critical region is proposed and studied.

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