Test in a Structural Equation
Test in a Structural Equation
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结构方程测试
DOI：
10.2307/1913711
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发表时间：
1989
期刊：
影响因子：
--
通讯作者：
K. Morimune
中科院分区：
文献类型：
--
作者：
K. Morimune
研究了结构型估计中有限信息极大似然估计、两阶段最小二乘估计和普通最小二乘估计的t比性质。首先证明了这些t比的矩的存在性，包括有限信息极大似然形式。其次，进行蒙特卡罗模拟，找出t检验和似然比检验的真实的大小。第三，导出t比分布的渐近展开式，以找出真实的尺寸与名义尺寸的偏差。有限信息极大似然估计和两阶段最小二乘估计的t比被证明是渐近强大的似然比检验。版权所有1989年由计量经济学会。
Properties of t ratios associated with the limited information maximum likelihood, two-stage least squares, and ordinary least squares estimators in a structural form estimation are studied. The existence of moments of these t ratios, including the limited information maximum likelihood form, is proved first. Second, Monte Carlo simulations are performed to find out real sizes of the t test and the likelihood ratio test. Third, asymptotic expansions of the distributions of t ratios are derived to find out deviations of real sizes from nominal sizes. The t ratios associated with the limited information maximum likelihood and two-stage least squares estimators are proved asymptotically as powerful as the likelihood ratio test. Copyright 1989 by The Econometric Society.