Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances (Q1820540): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0304-4076(86)90019-9 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2078530535 / rank | |||
Normal rank |
Revision as of 03:27, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances |
scientific article |
Statements
Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances (English)
0 references
1986
0 references
Monte Carlo methods are proposed and implemented for studying the finite- sample bias, standard error and estimated asymptotic standard error of the instrumental-variables estimator (IVARMA) of incomplete dynamic simultaneous-equation systems with ARMA disturbances. A control variate is derived for constructing efficient Monte Carlo estimators of the finite-sample moments of IVARMA and response surfaces are developed to obtain approximations to the finite-sample moment functions.
0 references
limited-information methods
0 references
asymptotic variance covariance matrix
0 references
Monte Carlo methods
0 references
finite-sample bias
0 references
standard error
0 references
estimated asymptotic standard error
0 references
instrumental-variables estimator
0 references
incomplete dynamic simultaneous-equation systems
0 references
ARMA disturbances
0 references
control variate
0 references
Monte Carlo estimators
0 references