结构方程归一化:方向估计量的性质

On the Normalization of Structural Equations: Properties of Direction Estimators

Econometrica · 1990
被引 66
人大 A+FT50ABS 4*

中文导读

指出传统归一化规则扭曲了普通最小二乘和两阶段最小二乘估计量的性质,并定义了对称归一化估计量,其性质与有限信息最大似然估计量相似。

Abstract

In the general structural equation model only the direction of the vector of coefficients of the endogenous variables is determined.The traditional normalization rule defines the coefficients that are of interest but should not be embodied in the estimation procedure: we show that the properties of the traditionally defined ordinary least squares and two stage least squares estimators are distorted by their dependence on the normalization rule.Symmetrically normalized analogues of these estimators are defined and are shown to have essentially similar properties to those of the limited information maximum likelihood estimator.

结构方程模型方向估计量归一化规则有限信息最大似然估计