Elemente teoretice privind testele de semnificaţie cu variabile instrumentale
Journal Title: Revista Romana de Statistica - Year 2015, Vol 63, Issue 9
Abstract
Aspectele teoretice ale testelor cu variabile instrumentale utilizate în modelele liniare reprezintă obiectul acestui articol: testul Sargan pentru supraidentificarea restricţiilor şi testul Durbin-Hausman-Wu bazat pe contrastele OLS-IV. Problemele generate de aceste teste apar din deficienţa de rang a anumitor momente. Erorile potenţiale ale acestor teste au interesat mai mulţi autori. Conform teoriei, eroarea potenţială este aplicabilă anumitor proceduri de test bazate pe estimatori liniari. O altă problemă potenţială privind interpretarea necorespunzătoare a erorii testelor este invalidarea teoriei distribuţiei asimptotice prin caracterul matricei de corelare dintre parametrii şi instrumentele regresiei. În acest sens, au fost utilizate grupuri ortogonale de matrice şi proprietăţile lor invariante. Teoria invarianţei grupului simplifică distribuţiile complicate în majoritatea cazurilor.
Authors and Affiliations
Constantin ANGHELACHE, Marius POPOVICI
Keywords
Related Articles
- EP ID EP158845
- DOI -
- Views 195
- Downloads 0
The Economic Dimension Of Environmental Risk Management in Knowledge-Based Society
Environmental risk for the majority of companies is the deterioration of bottom-line performance from: increased regulation on energy usage, eroded reputation, brand name and market share from an environmental incident,...
Usage of R in Official Statistics – Survey Data Analysis at the Statistical Office of the Republic of Slovenia
The paper has two practical purposes. The first one is to analyze how successfully R can be used for data analysis on surveys carried out by the Statistical Office of the Republic of Slovenia. In order to achieve this go...
Accounting Regulations for Goodwill at a National, European and International Level
The main objective of this article is to evaluate the degree of formal harmonization of the Romanian accounting regulations with the International Financial Reporting Standards with regard to goodwill, as it appears in t...
Variance Estimation Using Package vardpoor in R
The paper is devoted to the R package vardpoor. The Central Statistical Bureau of Latvia in 2012 developed R package vardpoor. The package vardpoor was developed with the objective to modernise the sample error estimatio...
Board Structure and Capital Structure – Empirical Evidence of Romanian Listed Companies
This study investigates the relationship between board of directors and company’s capital structure in context of Romanian firms. Our research paper covers information about 50 companies for the fiscal year 2010. A regre...