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使用有限信息的渐近最优检验与外生性检验AI 解读

By appropriately partitioning the joint hypothesis of weak exogeneity and the maintained overidentifying restrictions in the linear dynamic simultaneous equations model and showing that the component subhypotheses are separable, asymptotically optimal tests for the weak exogeneity hypothesis may be constructed using limited information statistics. A necessary and sufficient condition for the separability of parametric hypotheses of the mixed implicit function and constraint…

广义矩估计竞争模型的非嵌套检验AI 解读

Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with het- eroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented. THIS PAPER IS CONCERNED with providing a procedure whereby non-nested models estimated by generalized method of moments (GMM) (Hansen (1982)) may be com-…

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替代性渐近最优检验及其在动态设定中的应用AI 解读

A method is presented for generating test statistics which share the same first order asymptotic optimality properties of the classical statistics. Generalizing Neyman's (1959) work, the linearised classical statistic tests restrictions in implicit function form using a parameter estimator which is consistent and asymptotically normally distributed under the alternative hypothesis. By judicious choice of estimator and form of restrictions at which to evaluate the statistic,…

用简化似然比统计量检验受限因变量模型的外生性AI 解读

Abstract A simple likelihood‐ratio statistic for the weak exogeneity of the continuously observed endogenous variables is presented for the limited information simultaneous equations models in which a single endogenous variable is censored. The statistic is a likelihood ratio test statistic for the exclusion of the reduced form residuals of the continuously observed endogenous variables and is asymptotically locally most powerful. The procedure is illustrated by an…

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联立方程 Tobit 模型的外生性检验及其劳动供给应用AI 解读

A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the…