Approximate minimax estimators in the simultaneous equations model

DOI10.1016/0378-3758(93)90124-OzbMATH Open0779.62049OpenAlexW2075006000MaRDI QIDQ689388FDOQ689388

Authors: Bernhard Schipp 

Publication date: 2 December 1993

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(93)90124-o

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zbMATH Keywords

simulation studysimultaneous equations modelequality constraintsfinite sample propertiesapproximate minimax estimatorsellipsoidal restrictionsexact minimax estimatorsreduced form parametersstructural parameter estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20) Admissibility in statistical decision theory (62C15)

Cites Work

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• Minimax linear regression estimation with symmetric parameter restrictions
• Characterization of minimax linear estimators in linear regression
• Quasi minimax estimation in the linear regression model
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• A minimax linear estimator for linear parameters under restrictions in form of inequalities
• Bayes, Admissible, and Minimax Linear Estimators in Linear Models with Restricted Parameter Space
• Full and partial minimax estimation in regression analysis with additional linear constraints
• Minimax estimation with additional linear restrictions - a simulation study
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• Approximate minimax estimation in linear regression: theoretical results
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• Minimax linear, ridge and shrunken estimators for linear parameters
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Cited In (7)

• Preliminary test and Stein estimations in simultaneous linear equations
• Least orthogonal distance estimator of structural parameters in simultaneous equation models
• Worst-case estimation for econometric models with unobservable components
• Title not available (Why is that?)
• On the Nature and Number of the Constraints on the Reduced Form as Implied by the Structural Form
• Assessing coverage-probabilities for approximate minimax estimators with respect to interval restrictions
• Reduced form estimation and prediction from uncertain structural models. A generic approach

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