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On the Asymptotic Properties of LDU-Based Tests of the Rank of a Matrix
基于 LDU 分解的矩阵秩检验的渐近性质
Gill and Lewbel recently introduced a test for the rank of a matrix based on the LDU decomposition. Unfortunately, the asymptotic distribution suggested by them is incorrect except in a very limited problem. In general, the asymptotic distribution is that of a highly complicated nonlinear function of a normally distributed random vector that appears to defy useful characterization. The LDU decomposition can be used to produce a valid test asymptotically equivalent to the…
Testing Identifiability and Specification in Instrumental Variable Models
工具变量模型中的可识别性与设定检验
The paper develops and explores tests, based on standard moment specifications, for the identifiability of parameters apparently estimable by instrumental variables. An asymptotic expansion under standard restrictive assumptions on the error distribution suggests a correction to the asymptotic distribution. A small sampling experiment indicates that the tests are of use.
Quasi-Aitken estimation for heteroskedasticity of unknown form
Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods
THIS PAPER DEVELOPS some models for limited dependent variables.2 The distinguishing feature of these variables is that the range of values which they may assume has a lower bound and that this lowest value occurs in a fair number of observations. This feature should be taken into account in the statistical analysis of observations on such variables. In particular, it renders invalid use of the usual regression model. The second section of this paper develops several models…