工具变量模型中可识别性与设定的检验

Testing Identifiability and Specification in Instrumental Variable Models

Econometric Theory · 1993
被引 1430 · 同刊同年前 1%
人大 A-ABS 4

中文导读

基于标准矩条件,开发了检验工具变量模型参数可识别性的方法,并修正了渐近分布,小样本实验表明检验有效。

Abstract

The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.

工具变量识别检验模型设定检验渐近分布修正