Inference in Near Singular Regression
Inference in Near Singular Regression
复制标题
近奇异回归中的推理
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
P. Phillips
中科院分区：
文献类型：
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作者：
P. Phillips
本文研究了具有近共线回归变量的平稳回归模型。极限理论是为回归估计和检验统计量的情况下，信号矩阵几乎是奇异的，在有限的样本，是渐近退化。例如，在增长趋同等条件下出现的回归变量中存在蒸发趋势的模型。结构方程模型也被认为是和极限理论导出相应的工具变量估计，Wald检验统计量，和过度识别测试时，回归是内生的。
This paper considers stationary regression models with near-collinear regressors. Limit theory is developed for regression estimates and test statistics in cases where the signal matrix is nearly singular in finite samples and is asymptotically degenerate. Examples include models that involve evaporating trends in the regressors that arise in conditions such as growth convergence. Structural equation models are also considered and limit theory is derived for the corresponding instrumental variable estimator, Wald test statistic, and overidentification test when the regressors are endogenous.
影响因子：
0.8
作者：
P. Phillips;Tassos Magdalinos
通讯作者：
P. Phillips;Tassos Magdalinos