Small-Sample Estimation of a Structural Equation with Autocorrelated Errors

DOI10.2307/2284439MaRDI QIDQ5674228zbMATH OpenOpenAlexFDO

Authors Michael D. Hurd

Publication date 1972

Full work available at URL https://doi.org/10.2307/2284439

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Cited in

(6)

• The structure of simultaneous equations estimators
• A classified bibliography of Monte Carlo studies in econometrics
• A Monte Carlo study of some limited and full information simultaneous equation estimators with normal and nonnormal autocorrelated disturbances
• Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
• Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties
• The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^†

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