Reduced form estimation and prediction from uncertain structural models. A generic approach

DOI10.1016/0304-4076(86)90053-9zbMath0587.62199OpenAlexW1586068252MaRDI QIDQ1072326

Esfandiar Maasoumi

Publication date: 1986

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(86)90053-9

zbMATH Keywords

variancemodel uncertaintymisspecificationprioranalysis of the reduced formsdirect hierarchical modellinear simultaneous equations modelsmaximum joint probability estimates

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Cites Work

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• Decision rules for the choice of structural equations
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• The Distribution of Wealth
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• On posterior joint and marginal modes
• A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
• On the Existence of the Moments of 3SLS Estimators
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• On the Use of Principal Components of Independent Variables in Two-Stage Least-Squares Estimation
• The Exact Finite-Sample Distribution of the Limited-Information Maximum Likelihood Estimator in the Case of Two Included Endogenous Variables
• REDUCED FORM COEFFICIENT ESTIMATION AND FORECASTING FROM A SIMULTANEOUS EQUATION MODEL*
• Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency
• On the Cost of Approximate Specification in Simultaneous Equation Estimation

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