Tests of hypotheses arising in the correlated random coefficient model
Economic ModellingPublished 11 October 2010Open access
James J. Heckman, Daniel Schmierer
Citations12
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TL;DR
The properties of the correlated random coefficient model are developed and a new representation of the variance of the instrumental variable estimator for that model is derived.
Abstract
This paper examines the correlated random coefficient model. It extends the analysis of Swamy (1971), 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.
Keywords
Economics, Econometrics and Finance
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