一般结构方程中普通最小二乘与工具变量估计量的矩

On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation

Econometrica · 1984
被引 54
人大 A+FT50ABS 4*

中文导读

给出一般结构方程中内生变量系数工具变量估计量线性组合的前两阶矩的精确表达式,推广了仅含两三个内生变量的已有结果,并提供了易于估计的矩界。

Abstract

Exact expressions are given for the first two moments of a linear combination of the elements of an instrumental variables estimator for the coefficients of the endogenous variables in a general structural equation. These results generalize previous exact results for equations containing just two or three endogenous variables. In addition, we provide bounds on the moments that can easily be estimated, and generalize some earlier qualitative results for these estimators.

工具变量估计量有限样本矩结构方程内生变量