The Exact Finite Sample Distribution of a Nonconsistent Structural Variance Estimator

DOI10.2307/1913882MaRDI QIDQ4072690zbMATH OpenOpenAlexFDO

Authors R. L. Basmann, David H. Richardson

Publication date 1973

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913882

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Applications of statistics to economics (62P20)

Cited in

(3)

• Exact densities for variance estimators of the structural disturbances in simultaneous equations models
• Some consequences of model misspecification for \(t\) testing in a structural equation
• Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system

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