两阶段与三阶段最小二乘估计量的效率研究

On the efficiency of two-stage and three-stage least squares estimators

Econometric Reviews · 1988
被引 3
人大 A-ABS 3

中文导读

利用Kruskal等人的成果,推导出三阶段最小二乘与两阶段最小二乘等价的简单充要条件,该条件依赖于扰动项方差协方差矩阵的逆和每个结构方程的第二阶段回归变量集,对计量经济学学生检验充分性很有用。

Abstract

This paper utilizes the results of Kruskal (1968), Zyskind (1967), and more recently Milliken and Albohali (1984) to derive a simple necessary and sufficient condition for 3SLS to be equivalent to 2SLS. This condition depends upon the inverse of the variance:covariance matrix of the disturbances, and the set of second stage regressors of each structural equation. More importantly, this condition should prove useful for econometric students and provides an easy method for checking sufficiency.

两阶段最小二乘三阶段最小二乘估计量等价性结构方程