Reduced Form Estimation, Hedging against Possible Misspecification
证明，当联立方程系统存在设定错误时，对受限和不受限简化型估计量进行适当加权平均通常优于单个估计量。考虑的错误包括变量集不完整和结构矩阵参数化过少，并研究了预检验和斯坦因规则估计量。
This paper substantiates the idea that a suitably weighted average of a restricted and an unrestricted reduced form estimator is generally superior to its constituent parts in case the simultaneous equation system is misspecified. The specification errors considered cover incompleteness of the sets of exogenous and endogenous variables and too sparsely parameterized structural form matrices. The weighted averages studied include pre-test and Stein-rule estimators. Copyright 1989 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.