Asymptotic Properties of the Ordinary Least Squares Estimator in Simultaneous Equations Models PDF Download
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Author: Virendra K. Srivastava
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 18
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Author: Virendra K. Srivastava
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 18
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Author: Takeshi Amemiya
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The consistency and the asymptotic normality of the maximum likelihood estimator in the general nonlinear simultaneous equation model are proved. It is shown that the proof depends on the assumption of normality unlike in the linear simultaneous equation model. It is proved that the maximum likelihood estimator is asymptotically more efficient than the nonlinear three-stage least squares estimator if the specification is correct, However, the latter has the advantage of being consistent even when the normality assumption is removed. Hausrnan' s instrumental-variable-interpretation of the maximum likelihood estimator is extended to the general nonlinear simultaneous equation model
Author: Phoebus J. Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Author: Thomas B. Fomby
Publisher: Springer Science & Business Media
ISBN: 1441987460
Category : Business & Economics
Languages : en
Pages : 637
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Book Description
This book had its conception in 1975in a friendly tavern near the School of Businessand PublicAdministration at the UniversityofMissouri-Columbia. Two of the authors (Fomby and Hill) were graduate students of the third (Johnson), and were (and are) concerned about teaching econometrics effectively at the graduate level. We decided then to write a book to serve as a comprehensive text for graduate econometrics. Generally, the material included in the bookand itsorganization have been governed by the question, " Howcould the subject be best presented in a graduate class?" For content, this has meant that we have tried to cover " all the bases " and yet have not attempted to be encyclopedic. The intended purpose has also affected the levelofmathematical rigor. We have tended to prove only those results that are basic and/or relatively straightforward. Proofs that would demand inordinant amounts of class time have simply been referenced. The book is intended for a two-semester course and paced to admit more extensive treatment of areas of specific interest to the instructor and students. We have great confidence in the ability, industry, and persistence of graduate students in ferreting out and understanding the omitted proofs and results. In the end, this is how one gains maturity and a fuller appreciation for the subject in any case. It is assumed that the readers of the book will have had an econometric methods course, using texts like J. Johnston's Econometric Methods, 2nd ed.
Author: Phoebus J. Dhrymes
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 12
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Author: Joseph B. Kadane
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 108
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Author: Phoebus James Dhrymes
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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Book Description
Author: Denzil G. Fiebig
Publisher:
ISBN:
Category : Least squares
Languages : en
Pages : 44
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Author: Norbert Christopeit
Publisher:
ISBN:
Category :
Languages : de
Pages : 14
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Author: Michael Mohr
Publisher:
ISBN:
Category :
Languages : de
Pages : 25
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