On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics
作者:
R.L. Basmann,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1960)
卷期:
Volume 55,
issue 292
页码: 650-659
ISSN:0162-1459
年代: 1960
DOI:10.1080/01621459.1960.10483365
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
In the estimation of econometric simultaneous equations models, hypothesized necessary conditions for the identifiability of a single equation usually specify the exclusion of a number of variables from the structural equation in question. If the pre-determined variables are completely exogenous, if the disturbances in the equations are jointly normally distributed, and if a moderately high degree of precision can be obtained in reduced-form estimation, then the exact finite sample distribution of the generalized classical linearidentifiability test statisticcan be closely approximated by Snedecor'sFwith appropriate degrees of freedom.
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