An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models

DOI10.1016/S0304-4076(99)00075-5MaRDI QIDQ1586562zbMATH OpenFDO

Authors G. D. A. Phillips

Publication date 17 September 2001

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

zbMATH Keywords

simultaneous equations modelnon-spherical disturbancesbias approximationsNagar expansionssecond moment approximations

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system
• scientific article; zbMATH DE number 3900015
• Asymptotic expansions in multi-group analysis of moment structures with an application to linearized estimators
• Asymptotic expansions and higher order properties of semi-parametric estimators in a system of simultaneous equations
• scientific article; zbMATH DE number 3930130

Cites work

• Comparison of k-Class Estimators When the Disturbances Are Small
• Econometric Estimators and the Edgeworth Approximation
• Instrumental Variables Regression with Weak Instruments
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• On resampling methods for variance and bias estimation in linear models
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• Testing for Serial Correlation in Simultaneous Equation Models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Bias of Instrumental Variable Estimators
• The Existence of Moments of k-Class Estimators
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• The bias of the 2SLS variance estimator
• The commutation matrix: Some properties and applications

Cited in

(3)

• Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

This page was built for publication: An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586562)