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

DOI10.1016/S0304-4076(99)00075-5zbMATH Open0968.62020MaRDI QIDQ1586562FDOQ1586562

Authors: G. D. A. Phillips 

Publication date: 17 September 2001

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

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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)

Cites Work

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

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

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