Estimation of a Single Structural Equation with Structural Change
研究了存在结构变化时单一结构方程的估计问题，分析了不同样本中结构方差相等对识别条件和估计效率的影响，并比较了有限信息最大似然估计与替代估计量的渐近性质。
Estimation of a single structural equation when there exists structural change is considered. Equality of structural variances in different samples is shown to affect the identification condition and asymptotic efficiency of best asymptotically normal estimators when the reduced-form covariance matrices differ by the structural change. The limited information maximum likelihood estimator is presented with its asymptotic property and compared with an alternative estimator.