Consistent Estimation of Scaled Coefficients (Classic Reprint) - Couverture souple

Stoker, Thomas M.

Couverture souple

ISBN 10 : 1334538182 ISBN 13 : 9781334538186

Editeur : Forgotten Books, 2018

Synopsis

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.

Détails de l'édition

• Éditeur: Forgotten Books
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 1334538182
• ISBN 13: 9781334538186
• Reliure: Broché
• Nombre de pages: 44
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