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

DOI10.1016/0304-4076(74)90037-2MaRDI QIDQ1845604zbMATH OpenOpenAlexFDO

Authors David F. Hendry, Robin W. Harrison

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)

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• Almost Unbiased Estimator in Simultaneous Equations Systems
• Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown
• Comparison of k-Class Estimators When the Disturbances Are Small
• First Order Autoregression: Inference, Estimation, and Prediction
• Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Estimation and Use of Models with Moving Average Disturbance Terms: A Survey
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators

Cited in

(16)

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

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