Approximate minimax estimators in the simultaneous equations model

DOI10.1016/0378-3758(93)90124-OMaRDI QIDQ689388zbMATH OpenOpenAlexFDO

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

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)

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• Quasi minimax estimation in the linear regression model

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
• scientific article; zbMATH DE number 1944344 (Why is no real title available?)
• 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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