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Tests of Hypotheses Arising In the Correlated Random Coefficient Model

Author

Listed:
  • James J Heckman

    (University of Chicago,University College Dublin, Cowles Foundation, Yale University and the American Bar Foundation)

  • Daniel Schmierer

    (University of Chicago)

Abstract

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.

Suggested Citation

  • James J Heckman & Daniel Schmierer, 2010. "Tests of Hypotheses Arising In the Correlated Random Coefficient Model," Working Papers 201045, Geary Institute, University College Dublin.
  • Handle: RePEc:ucd:wpaper:201045
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    References listed on IDEAS

    as
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    Cited by:

    1. Gao, Yichen & Li, Cong & Liang, Zhongwen, 2015. "Binary response correlated random coefficient panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 421-434.

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    More about this item

    Keywords

    Random coefficient models; correlated random coefficient models; instrumental variables;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

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