By Halbert White (auth.), Dr. Theo K. Dijkstra (eds.)
Read or Download Misspecification Analysis: Proceedings of a Workshop held in Groningen, The Netherlands December 15–16, 1983 PDF
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Extra resources for Misspecification Analysis: Proceedings of a Workshop held in Groningen, The Netherlands December 15–16, 1983
Sample text
This is the Pearsonian approach to discrete variables in multivariate analysis. It is also known as the treshold approach, or the grouped continuous approach. General discussions and criticisms of this approach, as well as alternatives to this approach, are given in Fienberg (1980), De Leeuw (1983), Winship and Mare (1983), Anderson (1984). e. based on the work of G.
1973): Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency, Econometrica, 41, 119-134. J. (1978): Introductory Econometrics, Springer-Verlag, New York. K. D thesis, University of Groningen, Institute of Econometrics. K. (1983a): Some comments on maximum likelihood and partial least squares methods, Journal of Econometrics, 22, 67-90. K. (1983b): Predictive tests, Technical report, University of Groningen, Institute of Econometrics. Efron, B. (1979): Bootstrap methods, another look at the Jackknife, The Annals of Statistics, 7, 1-26.
53 The first part of statement 2 is trivial, and the mean of the asymptotic distribution equals: tr { avecn'(a2FO )-l(avecn')'(r-ler )} + v'(r- 1er )v,. ae' aeae' ae' xx xx o 0 a2Fo aeae' the first term is equal to kl-q and we de- (55) Statement 3 is a bit more involved. The argument leading to the 'consistency' and asymptotic normality of ~ can be repeated for 2SLS estimators, simply take W = I. The first part of the statement then follows easily. For the second part, note that the asymptotic distribution of ~ I/Tvec' (n-p) '(1: -- -1 81: ~T is the same as the limiting distribution of ~ xx ).