Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations

Kunitomo, Naoto; Morimune, Kimio; Tsukuda, Yoshihiko

doi:10.2307/2526123

Cited by 16 publications

(24 citation statements)

References 15 publications

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“…We make use of the results of Kunitomo et al (1983) and Morimune and Tsukuda (1984). The variance ratioλ defined by (2.12) is stochastically expanded as…”

Section: Appendix a Derivation Of Theoremmentioning

confidence: 99%

“…Validity of the method can be given following the same method used by Kunitomo et al (1983). To calculate the conditional expectations given the first order term v, we use the following formula which was developed by Morimune and Tsukuda (1984):…”

Section: Appendix a Derivation Of Theoremmentioning

confidence: 99%

“…The inverse transformation of the first term is G G 1 (ξ) which is the χ 2 cdf function with G 1 degrees of freedom. We also use the next Fourier Inversion formula which was developed by Kunitomo et al (1983):…”

Section: Appendix a Derivation Of Theoremmentioning

confidence: 99%

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Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments

Matsushita

2008

JJSS

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This paper studies properties of the likelihood ratio (LR) tests associated with the limited information maximum likelihood (LIML) estimators in a structural form estimation when the number of instrumental variables is large. Two types of asymptotic theories are developed to approximate the distribution of the likelihood ratio (LR) statistic under the null hypothesis H0 : β = β0: a (large sample) asymptotic expansion and a large-Kn asymptotic theory. Size comparisons of two modified LR tests based on these two asymptotics are made with Moreira's conditional likelihood ratio (CLR) test and the large K t-test.

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“…We make use of the results of Kunitomo et al (1983) and Morimune and Tsukuda (1984). The variance ratioλ defined by (2.12) is stochastically expanded as…”

Section: Appendix a Derivation Of Theoremmentioning

confidence: 99%

Section: Appendix a Derivation Of Theoremmentioning

confidence: 99%

See 1 more Smart Citation

Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments

Matsushita

2008

JJSS

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“…The issue with weak identification is that various test statistics deteriorate. Indeed, the conventional J test for overidentifying restrictions performs poorly when the number of moments grows (see Kunitomo, Morimune, and Tsukuda (1983) and Burnside and Eichenbaum (1996) Moroccan monetary authorities expressed an intention to move to inflation targeting 1 over the next few years. This will require a formulation of a monetary policy function a la the Taylor rule, to stabilize inflation around its target and the output gap.…”

Section: Introductionmentioning

confidence: 99%

The Moroccan New Keynesian Phillips Curve: A Structural Econometric Analysis

Belinga¹,

Doukali²

2019

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The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

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“…The small disturbance asymptotic theory had originally been developed for the analysis of simultaneous equation systems in econometrics. SeeAnderson (1977) orKunitomo et al (1983) for the details.2 This is essentially based on Chapter 1 of an unpublished Ph.D. dissertation(Takahashi 1995) at Berkeley. It gives many numerical examples and discusses the validity of the small disturbance asymptotic expansion method when the asset price follows a (time) nonhomogeneous diffusion process.…”

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confidence: 99%

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

Kunitomo

Takahashi

2001

Mathematical Finance

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125

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We propose a new methodology for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Itô processes. Our method can be applied to a wide range of valuation problems including complicated contingent claims associated with the term structure of interest rates. We illustrate our method by giving two examples: the valuation problems of swaptions and average (Asian) options for interest rates. Our method gives some explicit formulas for solutions, which are sufficiently numerically accurate for practical purposes in most cases. The continuous stochastic processes for spot interest rates and forward interest rates are not necessarily Markovian nor diffusion processes in the usual sense; nevertheless our approach can be rigorously justified by the Malliavin-Watanabe Calculus in stochastic analysis.

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Asymptotic Expansions of the Distributions of the Test Statistics for Overidentifying Restrictions in a System of Simultaneous Equations

Cited by 16 publications

References 15 publications

Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments

Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments

The Moroccan New Keynesian Phillips Curve: A Structural Econometric Analysis

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

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