Tests of hypotheses arising in the correlated random coefficient model
This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971, 1974), who pioneered the uncorrelated random coefficient model in economics. We develop the properties of the correlated random coefficient model and derive a new representation of the variance of the instrumental variable estimator for that model. We develop tests of the validity of the correlated random coefficient model against the null hypothesis of the uncorrelated random coefficient model.
Year of publication: |
2010
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Authors: | Heckman, James J. ; Schmierer, Daniel |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 27.2010, 6, p. 1355-1367
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Publisher: |
Elsevier |
Keywords: | Random coefficient models Correlated random coefficient models Instrumental variables |
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