The accuracy of the higher order bias approximation for the 2SLS estimator

DOI10.1016/S0165-1765(98)00207-9zbMath0918.90039OpenAlexW2036472578WikidataQ126421268 ScholiaQ126421268MaRDI QIDQ1285517

Kaddour Hadri, Garry D. A. Phillips

Publication date: 28 April 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(98)00207-9

zbMATH Keywords

Monte Carlo simulationstwo stage least squaresexact biashigher order bias approximation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (4)

Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Testing for stationarity in heterogeneous panel data where the time dimension is finite ⋮ TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION ⋮ SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL

Cites Work

• A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Existence of Moments of k-Class Estimators
• Finite-Sample Properties of the k-Class Estimators
• The Bias of the Two-Stage Least Squares Estimator

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