Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case
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Publication:3313172
DOI10.2307/2526371zbMath0531.62096OpenAlexW1979990160MaRDI QIDQ3313172
Publication date: 1982
Published in: International Economic Review (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2526371
Related Items (16)
Approximating the distribution of the two-stage least squares estimator when the concentration parameter is small ⋮ Estimation with overidentifying inequality moment conditions ⋮ Robust estimation in simultaneous equations models ⋮ Some consequences of model misspecification for \(t\) testing in a structural equation ⋮ A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models ⋮ The inadmissibility of the 2SLS estimator in linear structural equations ⋮ A simple form for the inverse moments of non-central \(\chi ^ 2\) and F random variables and certain confluent hypergeometric functions ⋮ DOA estimator performance assessment in the pre-asymptotic domain using the likelihood principle ⋮ Regularizing Double Machine Learning in Partially Linear Endogenous Models ⋮ On finite sample properties of alternative estimators of coefficients in a structural equation with many instruments ⋮ Asymptotic probability concentrations and finite sample properties of modified LIML estimators for equations with more than two endogeneous variables ⋮ Further consequences of viewing LIML as an iterated Aitken estimator. ⋮ Posterior distributions in limited information analysis of the simultaneous equations model using the Jeffreys prior ⋮ The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model ⋮ A note on the double \(k\)-class estimator in simultaneous equations. ⋮ Jeffreys prior analysis of the simultaneous equations model in the case with \(n+1\) endogenous variables.
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