Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models

DOI10.1016/j.csda.2015.11.011zbMath1466.62177OpenAlexW2192707219MaRDI QIDQ1659162

Gareth Liu-Evans, Garry D. A. Phillips

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.11.011

zbMATH Keywords

dynamicasymptotic approximationweak instrumentsbias correction2SLSsimultaneous equation model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

On a generalization of the test of endogeneity in a two stage least squares estimation

Cites Work

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