A Comparative Monte Carlo Study of the Properties of Econometric Estimators

DOI10.2307/2285383zbMATH Open0311.62060OpenAlexW4232848993MaRDI QIDQ4069666FDOQ4069666

Authors: William M. Mikhail 

Publication date: 1975

Full work available at URL: https://doi.org/10.2307/2285383

Mathematics Subject Classification ID

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

Cited In (5)

• On the computational competitiveness of full-information maximum- likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models
• The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
• Limited information estimator of a dynamic structural equation with autocorrelated arrors: a correction and new evidence
• The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^†
• Modified three-stage least squares estimator which is third-order efficient

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