hayashi计量济学章gmm研一下ch3 landscape.pdfVIP

3.1.EndogeneityBias:Working’ample

AS.E.ModelofMarketEquilibrium

Amodelofdemandandsupply

8

q=α+αp+u(demand),

i01ii

:

q=β+βp+v(supply).

i01ii

AssumeE(u)=0,E(v)=0.Forsimplicity,assumeE(uv)(=Cov(u,v))=0.

iiiiii

WhatdoesOLSestimate,demandorsupply?Neither,thankstoendogeneitybias.Show

thatpcannotbeorthogonaltoeithererrorterm.Derive:

i

8β0−α0v−u

ii

+

p=

i

α1−β1α1−β1

αβ−αβαv−βu

10011i1i

:

q=+.

i