Tests of Hypotheses Arising in the Correlated Random Coefficient Model

James J. Heckman, Daniel A. Schmierer

NBER Working Paper No. 16421
Issued in September 2010
NBER Program(s):Technical Working Papers

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.

Acknowledgments

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Document Object Identifier (DOI): 10.3386/w16421

Published: Heckman, James J. & Schmierer, Daniel, 2010. "Tests of hypotheses arising in the correlated random coefficient model," Economic Modelling, Elsevier, vol. 27(6), pages 1355-1367, November. citation courtesy of

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