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On Likelihood Ratio Tests of Structural Coefficients : Anderson-Rubin (1949) revisited
http://hdl.handle.net/2261/7237
http://hdl.handle.net/2261/7237e0d494de-8e4a-4257-84d3-cbaea28fc9ed
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | On Likelihood Ratio Tests of Structural Coefficients : Anderson-Rubin (1949) revisited | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Structural Equation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Likelihood Ratio Criterion(LRC) | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Anderson-Rubin(AR) test | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Weak Instruments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Many Instruments | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Reduced Rank Regression | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Cointegration | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Anderson, T. W.
× Anderson, T. W.× Kunitomo, Naoto |
|||||
著者所属 | ||||||
著者所属 | Department of Statistic and Department of Economics, Stanford University | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | 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 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-499, 発行日 2007-05 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
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 | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf499ab.html |