关于奇异方程组中估计量不变性论证的一个变体

A variant on the argument for the invariance of estimators in a singular system of equations

Econometric Reviews · 1990
被引 16
人大 A-ABS 3

中文导读

论文指出消费需求系统等分配模型通常有退化误差结构,估计时需删除一个方程,但现有不变性证明不直接;本文通过展示这类系统与联立方程模型中常见结构观测等价,从而更清晰地给出不变性条件。

Abstract

Allecation models, such as consumer demand systems, typically imply a degenerate error structure. The usual approach in estimation is to delete one equation, and to appeal to the results of Barten (1969), for example, that parameter estimates are invariant to the equation deleted. However such proofs of invariance are not straightforward. This paper demonstrates that such systems are observationally equivalent to structures common in the simultaneous equations literature, for which invariance is obvious, and hence provides a more transparent demonstration of conditions for invariance.

不变性证明奇异方程组联立方程模型参数估计