THE POWER OF AN F-TEST IN THE CONTEXT OF A STRUCTURAL EQUATION: 1. INTRODUCTION

EARLY IN THE DEVELOPMENT of econometric literature, Anderson and Rubin [1] suggested an exact F-test of a specific class of hypotheses in the context of a structural equation. Our interest in this test derives from the following two considerations. First, the test is consistent, much as the recent asymptotic tests are. Secondly, and even more important, it is possible to obtain an exact analytic expression for the power of the test. Thus the power can be computed exactly, e.g., in Monte Carlo experiments. Such is not known to be the case with regard to the recent tests. This should serve to prompt intensive efforts toward either obtaining exact expressions for powers of the recent tests or, at least, undertaking a variety of Monte Carlo studies devoted...