Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares

DOI10.1016/0304-4076(74)90037-2zbMath0286.62078OpenAlexW1980956568MaRDI QIDQ1845604

Robin W. Harrison, David F. Hendry

Publication date: 1974

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

Full work available at URL: https://doi.org/10.1016/0304-4076(74)90037-2

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (16)

Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties ⋮ A Monte Carlo study of some limited and full information simultaneous equation estimators with normal and nonnormal autocorrelated disturbances ⋮ Some results on the finite sample significance levels of instrumental variable tests for non-nested models ⋮ AUTOREG: A computer program library for dynamic econometric models with autoregressive errors ⋮ The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors ⋮ Classification probabilities for the disequilibrium model ⋮ On the behavior of inconsistent instrumental variable estimators ⋮ A reply to Professors Maasoumi and Phillips ⋮ The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^† ⋮ Small sample efficiency gains from a first observation correction for hatanakafs estimator of the lagged dependent variable-serial correlation regression model ⋮ Estimation of simultaneous equation models with stochastic trend components ⋮ The structure of simultaneous equations estimators ⋮ Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems ⋮ A comparative study of finite sample properties of band spectrum regression estimators ⋮ Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances ⋮ OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS

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• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• A Note on the Exact Finite Sample Frequency Functions of Generalized Classical Linear Estimators in Two Leading Over-Identified Cases
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• Almost Unbiased Estimator in Simultaneous Equations Systems
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• First Order Autoregression: Inference, Estimation, and Prediction
• Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown
• A General Approximation to the Distribution of Instrumental Variables Estimates
• Comparison of k-Class Estimators When the Disturbances Are Small
• Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study

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