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柯布—道格拉斯生产函数的估计
WE CONSIDER THE PROBLEM of estimating the coefficients of the Cobb-Douglas production function when observations are obtained from a cross section of firms. Under the assumptions that the firms operate in competitive markets and maximize actual profits, a stochastic model of production of the firms can be represented
随机解释变量与扰动独立性的替代检验：有限样本结果
RegWuTest performs a Wu (or Durbin-Wu-Hausman) specification test on a regression just estimated by instrumental variables. Because it works off the last regression, there are no parameters. Wu(1973), Alternative tests of independence between stochastic regressors and disturbances, Econometrica vol 42, 529-546.(This abstract was borrowed from another version of this item.)
IN TESTING HYPOTHESES on the coefficients of a linear regression model with stochastic regressors it is well known that the usual t test and F test are applicable if the stochastic regressors are statistically independent of the disturbances [3, p. 268; 5, pp. 27-28]. Also, there are cases in which economic hypotheses can be stated in terms of the independence of stochastic regressors and disturbances, the best known examples being the current versus the permanent income…
变量含误差模型中的最小二乘与分组法估计量
The probability density function of the least squares estimator of the slope coefficient in the errors in variables model is presented. It is shown how the bias and mean-square error of the least squares estimator b depend on the parameters of the model. In particular, for a given sample size, b converges to the true parameter as one of the distribution parameters increases indefinitely. The analysis is supplemented with numerical computations of the relative bias and…