线性联立方程中弱识别下的关键结构变化检验

PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION

Econometric Theory · 2010
被引 3
人大 A-ABS 4

中文导读

针对弱识别参数下的联立方程,通过简单重新参数化扩展了Caner(2007)的有界关键检验,开发了渐近关键的结构变化检验。

Abstract

Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, Journal of Econometrics 137, 28–67) by means of a simple reparametrization of the model.

弱识别联立方程结构变化检验渐近枢轴量