Ⅳ估计框架下模型设定检验问题的讨论被引量：12

Discussion about Model Specification Testing under Instrumental Variable Estimation

下载PDF

导出

摘要 IV估计框架下各种统计量的良好性质依赖于相应的模型设定,如果这些模型设定未能得到数据的支持,其统计推断结论将是不可靠的。如判定计量经济模型是否存在内生性的Hausman检验,实证研究中同一问题的检验结果可能大相径庭。本文讨论了工具变量估计框架下的各种模型设定检验问题,明确了各个检验统计量的适用条件及其逻辑联系,给出了工具变量估计框架下模型设定检验的一般步骤。 The good properties of various statistics under the instrumental variable estimation framework depend on the corresponding model assumptions. If these assumptions are not supported by the data, the statistical inference conclusions will be unreliable. For example, Hausman test is a classical procedure for testing endogeneity. However, in empirical research the results of this test may be in opposite directions. How to carry out the model specification testing in the presence of possible endogenous variable problem in empirical research？ In this paper, we discuss a variety of model specification issues, and declare the conditions of the various test statistics and the precedence relationship explicitly. On this basis, we put up a general testing procedure for model specification.

作者王美今林建浩胡毅

机构地区中山大学岭南学院

出处《统计研究》 CSSCI 北大核心 2012年第2期80-87,共8页 Statistical Research

基金广东省自然科学基金项目(10151027501000103) 广东省研究生示范课程建设项目(10SFKC02) "2010年教育部博士研究生学术新人奖"资助

关键词 IV估计模型设定检验 Instrumental Variable Estimation Model Specification Testing

分类号 O212 [理学—概率论与数理统计]

引文网络
相关文献

参考文献14

1Anderson, T. , Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions[J]. The Annals of Mathematical Statistics, 1951, 22 (3) : 327-351.
2Angrist, J. , and A. Krueger. Does Compulsory School Attendance Affect Schooling and Earnings? [ J ]. The Quarterly Journal of Economics, 1991, 106(4) : 979-1014.
3Arellano, M. , and S. Bond. Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations [ J ]. The Review of Economic Studies, 1991, 58 ( 2 ) : 277 -297.
4Bound, J. , D. Jaeger, and R. Baker. Problems with Instrumental Variables Estimation When the Correlation between the Instruments and the Endogenous Explanatory Variable Is Weak [ J ]. Journal of the American Statistical Association, 1995, 90(430) : 443 -450.
5Breusch, T. , H. Qian, P. Schmidt, and D. Wyhowski. Redundancy of Moment Conditions [ J ]. Journal of Econometrics, 1999, 91(1) : 89-111.
6Cragg, J. , and S. Donald. Testing Identifiability and Specification in Instrumental Variable Models[ J]. Econometric Theory, 1993, 9 (2) : 222-240.
7Hahn, J., and J. Hansman. Notes on bias in estimators for simultaneous equation models [ J ]. Economics Letters, 2002, 75 (2) : 237 -241.
8Hall, A. , and F. Peixe. A Consistent Method for the Selection of Relevant Instruments[ J]. Econometric Reviews, 2003, 22 (3) : 269 -287.
9Hall, A., G. Rudebusch, and D. Wilcox. Judging Instrument Relevance in Instrumental Variables Estimation [ J ]. International Economic Review, 1996, 37 (2) : 283-298.
10Kleibergen, F., and R. Paap. Generalized Reduced Rank Tests Using the Singular Value Decomposition [ J ]. Journalof Econometrics, 2006, 133 ( 1 ) : 97-126.