Some small-sample properties of instrumental-variables estimators of block triangular models

DOI10.1016/0378-3758(95)00054-2zbMATH Open0852.62096OpenAlexW1985832812MaRDI QIDQ1918158FDOQ1918158

Richard A. L. Carter

Publication date: 5 September 1996

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(95)00054-2

zbMATH Keywords

exact distributiontriangular modelsmean square error matrixerror covariance matricesapproximate distributionsinstrumental-variables estimatorlinear, simultaneous equations models

Mathematics Subject Classification ID

Point estimation (62F10) 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
• Finite-Sample Properties of the k-Class Estimators
• A General Approximation to the Distribution of Instrumental Variables Estimates
• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• Finite Sample Properties of Instrumental Variable Estimators of Structural Coefficients
• Econometric Estimators and the Edgeworth Approximation
• Comparison of k-Class Estimators When the Disturbances Are Small
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• The exact distribution of exogenous variable coefficient estimators
• Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables
• The Choice of Instrumental Variables in the Estimation of Economy-Wide Econometric Models
• On the Estimation of Triangular Structural Systems
• Minimum Second Moment Estimation in Simultaneous Equation Systems

Cited In (1)

• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

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