Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances (Q1820540)
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scientific article; zbMATH DE number 3996972
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| English | Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances |
scientific article; zbMATH DE number 3996972 |
Statements
Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances (English)
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1986
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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.
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limited-information methods
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asymptotic variance covariance matrix
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Monte Carlo methods
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finite-sample bias
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standard error
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estimated asymptotic standard error
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instrumental-variables estimator
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incomplete dynamic simultaneous-equation systems
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ARMA disturbances
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control variate
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Monte Carlo estimators
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0.93295234
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0.8682722
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0.86512005
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0.8610065
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0.8573416
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