The Validity of Nagar's Expansion for the Moments of Econometric Estimators

DOI10.2307/1913692zbMATH Open0287.62064OpenAlexW2142982774MaRDI QIDQ4775362FDOQ4775362

Authors:

Publication date: 1974

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913692

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Approximation by rational functions (41A20)

Cited In (16)

• Bias approximations for covariance parameter estimators in the linear model with ar(1) errors
• Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
• Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
• Optimal instruments when the disturbances are small
• Vision and influence in econometrics: John Denis Sargan
• The second-order bias and mean squared error of estimators in time-series models
• Minimum Divergence, Generalized Empirical Likelihoods, and Higher Order Expansions
• A general result on the estimation bias of ARMA models
• A ridge-like method for simultaneous estimation of simultaneous equations
• Some small-sample properties of instrumental-variables estimators of block triangular models
• The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
• Bias assessment and reduction in linear error-correction models
• Efficiency of iterative estimators in the regression model with AR(1) disturbances
• On skewness and kurtosis of econometric estimators
• Reduced form estimation and prediction from uncertain structural models. A generic approach
• An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models

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