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非正态性对含结构变化的单一结构方程估计的影响AI 解读

Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality…

截断对回归系数可识别性的影响AI 解读

When data are truncated and hence partly unobservable, parameters identifiable under the complete observation may not be identifiable. A class of distributions is characterized, under which regression coefficients are unidentifiable by truncation of a dependent variable in the regression model. In a class of strongly unimodal densities regression coefficients are shown to be unidentifiable only when the underlying distribution is proportional to the exponential distribution…

存在结构变化时单个结构方程的估计AI 解读

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.