The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model

DOI10.1016/0304-4076(78)90002-7zbMath0384.62028OpenAlexW2035647451WikidataQ58844464 ScholiaQ58844464MaRDI QIDQ1249003

Jatinder S. Mehta, P. A. V. B. Swamy

Publication date: 1978

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(78)90002-7

Mathematics Subject Classification ID

Bayesian inference (62F15)

Related Items (16)

From unit root to Stein's estimator to Fisher's \(k\) statistics: If you have a moment, I can tell you more ⋮ Local asymptotic distribution related to the AR(1) model with dependent errors ⋮ The existence of moments of ridge-like k-class and partially restricted reduced form estimators ⋮ Numerical computation of exact moments of the least squares estimator in a first-order stationary autoregressive model ⋮ The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors ⋮ Exact moments of lawless and wang's operational ridge regression estimator ⋮ A ridge-like method for simultaneous estimation of simultaneous equations ⋮ On the control of structural models ⋮ New Bayesian approach to the estimation in simultaneous equations model ⋮ On the existence of moments of partially restricted reduced form coefficients ⋮ Linear prediction and estimation methods for regression models with stationary stochastic coefficients ⋮ Computing moments of ratios of quadratic forms in normal variables ⋮ On the expectation of a ratio of quadratic forms in normal variables ⋮ Exact finite sample properties of double k-class estimators in simultaneous equations ⋮ The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending ⋮ A monte carlo study of collinearity in linear simultaneous equation models^∗

Cites Work

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• Minimum average risk estimators for coefficients in linear models
• Two methods of evaluating hoerl and kennard's ridge regression
• Constraints Often Overlooked in Analyses of Simultaneous Equation Models
• On a Theorem Used in Nonlinear Least Squares
• The Use of Undersized Samples in the Estimation of Simultaneous Equation Systems
• Finite-Sample Properties of the k-Class Estimators
• The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators

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