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广义经验似然估计量的结构参数检验水平校正

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摘要 文章首先从理论上揭示了广义矩估计量隐含的等概率加权,会导致结构参数检验存在严重的显著性水平扭曲。随后,本文应用广义经验似然估计量校正了水平扭曲。进一步,蒙特卡罗仿真基础上的比较研究证明了这一校正有效。文章研究表明,在对结构参数进行假设检验时,为保证结论的稳健性,应使用广义经验似然估计量并由此来形成检验结论。
作者 李昊
出处 《统计与决策》 CSSCI 北大核心 2012年第10期9-13,共5页 Statistics & Decision
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