Distribution of a Structural t-Statistic for the Case of Two Included Endogenous Variables
作者： David H. Richardson , Robert J. Rohr
DOI: 10.1080/01621459.1971.10482271
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摘要: Abstract In this article we study the exact finite sample distribution function of a t-statistic that can be used to test hypotheses and construct confidence intervals for structural coefficients in simultaneous equations models. It is shown equal Student's t-distribution when one its parameters zero converges as another increases without bound. Computations first three moments indicate error might result if an approximation function.
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