Working Paper Alfred P. Sloan School of Management Consistent Estimation of Scaled Coefficients Consistent Estimation of Scaled Coefficients
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چکیده
This paper studies the estimation oi coefficients B in single inde;-; models such that E(y I X) =F (a + X '6) 1 where the function F is misspecified or unknown. A linear instrumental variables slope coefficient vector of y regressed on X is shown to be consistent for up to a scalar multiple, where the instruments &re appropriately defined score vectors of the marginal distribution of X. The framework is illustrated by several common limited dependent variable aodels and models involving a transformed dependent variable. Similar estimators are indicated for multiple index models and models where extraneous variables are present. The construction of the instrumental variables is discussed, and illustrated by several examples. The asymptotic distribution of the instrufliental variables estimator is established. CONSISTENT ESTIMATION OF SCALED COEFFICIENTS
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تاریخ انتشار 2008