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
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