Department of Statistic and Department of Economics, Stanford University
Graduate School of Economics, University of Tokyo
抄録
We develop the likelihood ratio criterion (LRC) for testing the coefficients of a structural equation in a system of simultaneous equations in econometrics. We relate the likelihood ratio criterion to the AR statistic proposed by Anderson and Rubin (1949, 1950), which has been widely known and used in econometrics over the past several decades. The method originally developed by Anderson and Rubin (1949, 1950) can be modified to the situation when there are many (or weak in some sense) instruments which may have some relevance in recent econometrics. The method of LRC can be extended to the linear functional relationships (or the errors-in-variables) model, the reduced rank regression and the cointegration models.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-499
発行年
2007-05
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
330
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
On Likelihood Ratio Tests of Structural Coefficients : Anderson-Rubin (1949) revisited
