Author: Suchitra JariyanandhanetrPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 284
Book Description
A Comparison of Alternative Estimators in a Simultaneous Equation Model with Errors in Variables
Author: Suchitra JariyanandhanetrPublisher:
ISBN:
Category : Economic forecasting
Languages : en
Pages : 284
Book Description
Reduced Form Estimation in Partially Specified Simultaneous Equations Models
Author: William Arthur PowellPublisher:
ISBN:
Category : Equations, Simultaneous
Languages : en
Pages : 204
Book Description
A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model
Author: Kenneth D. WestPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional one (Hansen (1985)). We find that for some plausible data generating processes, the optimal one is distinctly more efficient asymptotically. Simulations indicate that in samples of size typically available, asymptotic theory describes the distribution of the parameter estimates reasonably well, but that test statistics sometimes are poorly sized.
A Comparison of Alternative Instrumental Variables Estimators of a Dynamic Linear Model
Author: Kenneth David WestPublisher:
ISBN:
Category : Instrumental variables (Statistics)
Languages : en
Pages : 76
Book Description
Estimators for the Simultaneous Equation Model with Lagged Endogenous Variables and Autocorrelated Errors
Author: George H. K. WangPublisher:
ISBN:
Category :
Languages : en
Pages : 190
Book Description
A Comparison of Some Limited Information Estimators for Dynamic Simultaneous Equations Models with Autocorrelated Errors
Author: Phoebus J. DhrymesPublisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 76
Book Description
Comparison of Estimators in Simultaneous Equation Econometric Models when the Residuals are Small
Author: Joseph B. KadanePublisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 108
Book Description
A Comparison of Some Limited Information Estimators for Dynamic Simultaneous Equations Models with Autocorrelated Errors
Author: Phoebus J. DhrymesPublisher:
ISBN:
Category : Estimation theory
Languages : en
Pages : 76
Book Description
Comparisons Between Some Estimators in Functional Errors-in-Variables Regression Models
Author: Raymond J. CarrollPublisher:
ISBN:
Category : Monte Carlo method
Languages : en
Pages : 28
Book Description
This report studies the functional errors-in-variables regression model. In the case of no equation error (all randomness due to measurement errors), the maximum likelihood estimator computed assuming normality is asymptotically better than the usual moments estimator, even if the errors are not normally distributed. For certain statistical problems such as randomized two group analysis of covariance, the least squares estimate is shown to be better than the aformentioned errors-in-variables methods for estimating certain important contrasts.
The Relative Efficiency of Instrumental Variables Estimators for the Linear Simultaneous Equations Model
Author: James McConnell BrundyPublisher:
ISBN:
Category :
Languages : en
Pages : 298
Book Description
