Exact densities for variance estimators of the structural disturbances in simultaneous equations models

DOI10.1016/0304-4076(94)90042-6MaRDI QIDQ1318992zbMATH OpenOpenAlexFDO

Authors Murray D. Smith

Publication date 16 June 1994

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

Full work available at URL https://doi.org/10.1016/0304-4076(94)90042-6

zbMATH Keywords

endogenous variablessimultaneous equations modelstructural equationexact densitymoment formulaeconditional distribution theoryexact finite sample resultsexistence of estimators momentsleading caseright-hand-side endogenous variablesstructural disturbancesstructural variance estimator

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20)

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• Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system
• scientific article; zbMATH DE number 3876450
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• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• Bessel functions of matrix argument
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory
• Normal Multivariate Analysis and the Orthogonal Group
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• On the construction of a class of invariant polynomials in several matrices, extending the zonal polynomials
• Some Non-Central Distribution Problems in Multivariate Analysis
• Some properties of invariant polynomials with matrix arguments and their applications in econometrics
• The Exact Finite Sample Distribution of a Nonconsistent Structural Variance Estimator
• t Test in a Structural Equation

Cited in

(10)

• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
• scientific article; zbMATH DE number 3876450 (Why is no real title available?)
• EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY
• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• scientific article; zbMATH DE number 500448 (Why is no real title available?)
• Some consequences of model misspecification for \(t\) testing in a structural equation
• Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system
• Estimators of the disturbance variance in econometric models. Small- sample bias and the existence of moments
• The exact distribution of exogenous variable coefficient estimators
• Exact finite sample properties of double k-class estimators in simultaneous equations

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