随机回归元方程中的设定分析

Specification Analysis in Equations With Stochastic Regressors

Journal of Business & Economic Statistics · 2001
被引 5
人大 AABS 4

中文导读

将检验结构约束和有效正交条件的问题纳入单一方程框架,使线性回归模型的设定技术得以应用。识别引起联立方程偏误的内生变量可提高估计效率,因为只需对这些变量使用工具变量。

Abstract

We encompass the (closely related) problems of testing for structural restrictions and for valid orthogonality conditions into a single-equation framework in which the familiar specification techniques of the linear regression model can be applied. Identifying the endogenous variables that induce “simultaneous equation bias” will improve the efficiency of estimation, since only those variables need to be instrumented.

随机回归元设定分析正交条件检验结构约束检验