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近似设定与 k 类估计量的选择AI 解读

This paper carries on work in [2] and [4] on the asymptotic effects of small specification error in simultaneous equation estimation. The specification errors considered are inherent in the approximate nature of econometric models. It is shown that for any parameter and small enough specification error, the probability limits of two-stage least squares and limited-information maximum-likelihood, while different, lie on the same side of the true parameter value, the…

近似可识别性与扰动项方差AI 解读

THE OBSERVATION that large disparity in the variances of the disturbances from different structural equations in a simultaneous system can aid identification is as old as the discovery of the identification problem itself. Thus, in the classic example of E. J. Working [10], it is observed that whereas in the Marshallian cross neither the supply nor the demand curve is identified, this is not the case if one of the curves shifts about a great deal relative to the other. If…