Tests of Hypotheses Arising in the Correlated Random Coefficient Model

41 Pages Posted: 12 Oct 2010

See all articles by James J. Heckman

James J. Heckman

University of Chicago - Department of Economics; National Bureau of Economic Research (NBER); American Bar Foundation; Institute for the Study of Labor (IZA); CESifo (Center for Economic Studies and Ifo Institute)

Daniel Schmierer

University of Chicago - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: September 2010

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

Heckman, James J. and Schmierer, Daniel, Tests of Hypotheses Arising in the Correlated Random Coefficient Model (September 2010). NBER Working Paper No. w16421. Available at SSRN: https://ssrn.com/abstract=1689319

James J. Heckman (Contact Author)

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Daniel Schmierer

University of Chicago - Department of Economics ( email )

1126 East 59th Street
Chicago, IL 60637
United States

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