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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w2401 |
来源ID | Working Paper 2401 |
Heteroskedasticity-Consistent Estimation of the Variance-Covariance Matrix for the Almost Ideal Demand System | |
Melvyn A. Fuss | |
发表日期 | 1987-10-01 |
出版年 | 1987 |
语种 | 英语 |
摘要 | In this note I demonstrate the previously overlooked fact that if the AIDS aggregate demand model is constructed as the aggregation of individual consumer demands, then the error structure for any individual equation is necessarily heteroskedastic unless the distribution of income is constant across aggregates. Maximum likelihood estimation which ignores this heteroskedasticity yields inconsistent estimates of the variance-covariance matrix and renders likelihood ratio tests of the restrictions of consumer demand theory inappropriate. A heteroskedasticity-consistent estimator of the variance-covariance matrix is proposed by adopting the technique of White (1980) to the case at hand. |
主题 | Econometrics |
URL | https://www.nber.org/papers/w2401 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559656 |
推荐引用方式 GB/T 7714 | Melvyn A. Fuss. Heteroskedasticity-Consistent Estimation of the Variance-Covariance Matrix for the Almost Ideal Demand System. 1987. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w2401.pdf(55KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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