受限简化形式的精确有限样本检验统计量:“学生”t结果的一个推广

Exact Finite Sample Test Statistics for Restricted Reduced Forms: A Generalization of "Student's" Result

International Economic Review · 1987
被引 2
人大 AABS 4

中文导读

提出了过度识别排除限制中简化型系数的检验统计量和估计量,这些统计量在原假设下不依赖未知参数,其中一个恰好是学生t分布,对供需双方程框架进行了推广。

Abstract

Test statistics and estimators for reduced-form coefficients involved in overidentifying exclusion restrictions are proposed. The test statistics, under the null hypothesis, do not depend on unknown parameters. One of the test statistics is exactly a Student t under the null hypothesis. A two equation (supply/demand) framework is used , but generalizations are suggested. Copyright 1987 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

有限样本检验过度识别约束简化型系数学生t分布