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Excerpt from Consistent Estimation of Scaled Coefficients
These estimates may suffice for many applications, such as judging relative marginal utilities in a discrete choice situation. Moreover, because the asymptotic distribution of the instrumental variables estimator is easily established, certain scale free hypotheses can be tested, such as zero restrictions and equality restrictions on the components of B.
More broadly, the ratio estimates provide a consistent benchmark for choosing specific modelling assumptions. Namely, if alternative functional form or stochastic distribution assumptions give rise to substantively different estimates of B, the consistent ratio estimates can guide the choice of the best specification. For example, in a binary discrete choice situation, separate estimates of 8 under logit or probit assumptions could be judged in relation to the consistent instrumental variable ratio estimates.
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- PublisherForgotten Books
- Publication date2024
- ISBN 10 1334538182
- ISBN 13 9781334538186
- BindingPaperback
- LanguageEnglish
- Number of pages44
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Consistent Estimation of Scaled Coefficients (Classic Reprint)
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Paperback. Condition: New. Print on Demand. This book presents a detailed analysis of the estimation of coefficients in single index models, where the function relating the dependent and independent variables is misspecified or unknown. The author demonstrates a consistent estimator for scaled coefficients that can be obtained by employing linear instrumental variables regression, where the instruments are appropriately defined score vectors of the marginal distribution of independent variables. The book explores the implications of the proposed method for various econometric models, including limited dependent variable models and models involving transformed dependent variables. It discusses the construction and implementation of the instrumental variables, and establishes their asymptotic distribution, facilitating statistical inference and hypothesis testing. By providing a solid theoretical foundation and practical guidance, this book contributes to the understanding of coefficient estimation in econometric models with misspecified or unknown functional forms. It is a valuable resource for researchers, practitioners, and students interested in econometrics, statistics, and the analysis of economic and social data. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Seller Inventory # 9781334538186_0
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Consistent Estimation of Scaled Coefficients Classic Reprint
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PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # LX-9781334538186
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Consistent Estimation of Scaled Coefficients Classic Reprint
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PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # LX-9781334538186
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Consistent Estimation of Scaled Coefficients (Classic Reprint)
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Paperback. Condition: Brand New. 46 pages. 8.98x5.91x0.24 inches. In Stock. Seller Inventory # __1334538182
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Consistent Estimation of Scaled Coefficients (Classic Reprint)
Print on DemandSeller: Revaluation Books, Exeter, United Kingdom
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Paperback. Condition: Brand New. 46 pages. 8.98x5.91x0.24 inches. This item is printed on demand. Seller Inventory # zk1334538182
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