A ridge-like method for simultaneous estimation of simultaneous equations

DOI10.1016/0304-4076(80)90004-4zbMATH Open0431.62077OpenAlexW2033793242MaRDI QIDQ1138335

Esfandiar Maasoumi

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90004-4

zbMATH Keywords

linear simultaneous equations modelquadratic risk criterionridge-like modification of 3SLS estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Three Stage Least Squares and Some Extensions where the Structural Disturbance Covariance Matrix May Be Singular
• Econometric Estimators and the Edgeworth Approximation
• Minimum average risk estimators for coefficients in linear models
• A Simulation Study of Alternatives to Ordinary Least Squares
• A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
• A note on minimum average risk estimators for coefficients in linear models
• Some Properties of a Modification of the Limited Information Estimator
• On the Existence of the Moments of 3SLS Estimators
• Two methods of evaluating hoerl and kennard's ridge regression
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• Constraints Often Overlooked in Analyses of Simultaneous Equation Models
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Ridge Regression: Applications to Nonorthogonal Problems
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• The Use of Undersized Samples in the Estimation of Simultaneous Equation Systems
• Finite-Sample Properties of the k-Class Estimators

Related Items (3)

New Bayesian approach to the estimation in simultaneous equations model ⋮ A monte carlo study of collinearity in linear simultaneous equation models^∗ ⋮ Econometric Reviews honors Esfandiar Maasoumi

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