The bias of the ordinary least squares estimator in simultaneous equation models

DOI10.1016/S0165-1765(96)00908-1zbMath0897.90059OpenAlexW2126641805MaRDI QIDQ1392157

Garry D. A. Phillips, Jan F. Kiviet

Publication date: 23 July 1998

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(96)00908-1

zbMATH Keywords

large sample asymptoticsordinary least squares estimationbias approximationsmall disturbance asymptoticsstatic simultaneous equation model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors ⋮ The bias of the 2SLS variance estimator

Cites Work

• Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Almost Unbiased Estimator in Simultaneous Equations Systems
• Comparison of k-Class Estimators When the Disturbances Are Small
• The Bias of the Two-Stage Least Squares Estimator

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