A Monte Carlo study of some limited and full information simultaneous equation estimators with normal and nonnormal autocorrelated disturbances

DOI10.1016/0378-3758(95)00058-5zbMath0850.62913MaRDI QIDQ1918163

George Michailidis, George S. Donatos

Publication date: 20 November 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)00058-5

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62F10: Point estimation

Cites Work

• The structure of simultaneous equations estimators
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
• A Monte Carlo Study of Estimates of Simultaneous Linear Structural Equations
• A Monte Carlo Study of Alternative Simultaneous Equation Estimators
• A Monte Carlo Study of Small-Sample Properties of Simultaneous Equation Estimators With Normal and Nonnormal Disturbances
• Small sample properties of ridge estimators with normal and non-normal disturbances
• Small-Sample Properties of Simultaneous Equation Estimators with Multicollinearity
• On Certain Small Sample Properties of k-Class Estimators
• Maximization by Quadratic Hill-Climbing
• The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors
• Small-Sample Estimation of a Structural Equation with Autocorrelated Errors
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