The accuracy of the higher order bias approximation for the 2SLS estimator

DOI10.1016/S0165-1765(98)00207-9zbMath0918.90039WikidataQ126421268 ScholiaQ126421268MaRDI QIDQ1285517

Kaddour Hadri, Garry D. A. Phillips

Publication date: 28 April 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00207-9

zbMATH Keywords

Monte Carlo simulations; two stage least squares; exact bias; higher order bias approximation

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

Related Items

SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL, Testing for stationarity in heterogeneous panel data where the time dimension is finite, Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models, TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION

Cites Work

• A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Existence of Moments of k-Class Estimators
• Finite-Sample Properties of the k-Class Estimators
• The Bias of the Two-Stage Least Squares Estimator