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《Estimation of Parameters in the Presence of Model misspecification 在模型誤設(shè)下的參數(shù)估計.ppt》由會員上傳分享，免費在線閱讀，更多相關(guān)內(nèi)容在教育資源-天天文庫。
1、EstimationofParametersinthePresenceofModelmisspecificationandMeasurementErrorP.A.V.B.Swamy,GeorgeS.Tavlas,StephenG.HallAndGeorgeHondroyiannisIntroductionMosteconometricrelationshipsaresubjecttoatleastthefollowingthreeproblemsMeasurementErrorThetruefunctionalformisunknownOmittedvariablesWhiletherear
2、especifictechniquesorproceduresthatdealwiththeseproblemsoneatatimethereisnosingleapproachwhichworksforthemall.Thispaperproposesanewestimationstrategywhichpotentiallydealswithallformsofmodelmisspecificationsimultaneously.Unlikesomenon-parametrictechniquestheproposedmethodisfeasiblewithrelativelysmal
3、ldatasetsItalsooffersanewinterpretationofregressioncoefficientsinthepresenceofmisspecificationandaformalrepresentationofthebiaseswhichresult2.TheInterpretationofModelCoefficientsConsidertherelationshipbetweenanendogenousvariableandK-1ofitsdeterminants….WhereinparticularK-1maybeonlyasubsetofthefulls
4、etofdeterminantssothatwehaveomittedvariables.Inadditionwehavemeasurementerror=+,=+AndwemaybeestimatingthewrongfunctionalformWhatistheeconometriciantryingtoachieve?Ouranswertothisistoderiveanestimateofthepartialderivativeofwithrespectto,andtotesthypothesisaboutthis.Ifyouwanttoestimatethetruemodelthe
5、ntherereallyisnoalternativetospecifyingitcorrectly.Howeverifyouareonlyinterestedinpartialeffectsthenweofferanotherwayforward.Considerthefollowingtimevaryingparametermodel=++…+AllpotentialmisspecificationiscapturedinthetimevaryingcoefficientswhichofferacompleteExplanationofy.Nowthekeyquestioniswhata
6、rethestochasticassumptionsabouttheTVCsThecorrectstochasticassumptionsabouttheTVCcomesfromanunderstandingofthemisspecificationwhichdrivesthetimevariation.NotationandassumptionsLetdenotethetotalnumberofdeterminantsofy,thiscannotgenerallybeknown,butingeneralm>k-1.Nowletandj=1…K-1andg=k…mbethetruecoeff
7、icientsontheunderlyingmodel,wheretheparametersvarybecauseofeitheranon-linearfunctionalformortrulychangingparametersNowforg=k…letdenotetheinterceptandj=1…K-1denotetheothercoefficientsoftheregressionofon…Then
