Опубликовано на портале: 06-04-2004Jeffrey M. Wooldridge Economics Letters. 1990. Vol. 34. No. 2. P. 151-155.
The asymptotic properties of a regression-based Lagrange multiplier test for omitted variables in the context of two stage least squares is discussed, and an F-statistic for 2SLS regressions is proposed. The choice of instruments under the null and alternative models is explicitly considered, thereby clearing up some unresolved issues in the literature