论文标题
滥用规范测试
A Misuse of Specification Tests
论文作者
论文摘要
经验研究人员经常进行模型规范测试，例如Hausman测试和过度识别限制测试，以确认估计器的有效性而不是模型的有效性。本文探讨了规范预测在查找无效估计器中的有效性。我们研究了测试统计和估计量的局部渐近特性，并表明局部无偏的规范测试无法确定渐近高效的估计量是否存在渐近偏差。本文的主要信息是正确的规范和有效估计是不同的问题。对于局部过度识别下的渐近公正估计，正确的规范既不需要也不足够。
Empirical researchers often perform model specification tests, such as the Hausman test and the overidentifying restrictions test, to confirm the validity of estimators rather than the validity of models. This paper examines the effectiveness of specification pretests in finding invalid estimators. We study the local asymptotic properties of test statistics and estimators and show that locally unbiased specification tests cannot determine whether asymptotically efficient estimators are asymptotically biased. The main message of the paper is that correct specification and valid estimation are different issues. Correct specification is neither necessary nor sufficient for asymptotically unbiased estimation under local overidentification.
