Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system (Q2266308)
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English | Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system |
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Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system (English)
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1984
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Asymptotic expansions of three alternative classes of structural variance estimators associated with the k-class estimators of structural coefficients are derived for two parameter sequences: a sequence in which the non-centrality parameter increases while the sample size stays fixed (called large-\(\mu\) or small-disturbance sequence), and that in which the number of observations increases. The accuracy of approximations to small-sample distributions are numerically examined with help of Monte Carlo studies. Properties of the sum of squared residuals of an estimated structural equation are also found from our study.
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simultaneous equations system
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Asymptotic expansions
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structural variance estimators
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k-class estimators
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approximations
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small-sample distributions
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sum of squared residuals
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estimated structural equation
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