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我对考尔斯委员会时期特里格韦·哈维尔莫的回忆
Trygve Haavelmo and the author were colleagues at the Cowles Commission for Research in Economics during the academic year 1945–46. The econometric analysis of simultaneous equation models and its uses in economic analysis were explored.
多工具变量结构方程系数估计量的有限样本比较
We compare four different estimation methods for the coefficients of a linear structural equation with instrumental variables. As the classical methods we consider the limited information maximum likelihood (LIML) estimator and the two-stage least squares (TSLS) estimator, and as the semi-parametric estimation methods we consider the maximum empirical likelihood (MEL) estimator and the generalized method of moments (GMM) (or the estimating equation) estimator. Tables and…
LIML 估计量具有有限矩！
The Limited Information Maximum Likelihood estimator of the vector of coefficients of a structural equation in a simultaneous equation model is the vector that defines the linear combination maximizing the effect variance relative to the error variance. If this "eigenvector" solution is normalized by setting a designated coefficient equal to 1, the second-order moment of the estimator may be unbounded. However, the second-order moment is finite if the normalization sets the…
工具变量可能众多时 LIML 估计量的渐近最优性
We consider the estimation of the coefficients of a linear structural equation in a simultaneous equation system when there are many instrumental variables. We derive some asymptotic properties of the limited information maximum likelihood (LIML) estimator when the number of instruments is large; some of these results are new as well as old, and we relate them to results in some recent studies. We have found that the variance of the limiting distribution of the LIML…
联立方程模型的过度识别与预定性检验
A set of simultaneous equations that is a part of a larger complete system is considered. One hypothesis concerning this set of equations is that it is overidentified as a block by a block of zero restrictions. Another hypothesis is that a subset of the current endogenous variables is uncorrelated with the disturbances in the set of simultaneous equations (‘econometric predeterminedness’). Likelihood ratio, Lagrange multiplier, and Wald tests are derived for the…
线性潜变量模型与协方差结构
The observed vector is taken as a linear combination of latent (unobservable) vector variables. The loading matrices are functions of a vector parameter; the covariance matrix of one latent vector may depend on another vector parameter and the covariance matrices of the other latent vectors are unrestricted positive definite matrices; and the different latent vectors are uncorrelated. The covariance matrix of the observed vector is a function of the two parameter vectors and…