Exact densities for variance estimators of the structural disturbances in simultaneous equations models

DOI10.1016/0304-4076(94)90042-6zbMath0789.62100OpenAlexW2083308899MaRDI QIDQ1318992

Murray D. Smith

Publication date: 16 June 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90042-6

zbMATH Keywords

endogenous variablessimultaneous equations modelstructural equationexact densitymoment formulaeconditional distribution theoryexact finite sample resultsexistence of estimators momentsleading caseright-hand-side endogenous variablesstructural disturbancesstructural variance estimator

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15)

Related Items

Some consequences of model misspecification for \(t\) testing in a structural equation

Cites Work

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• On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation
• The Exact Finite Sample Distribution of a Nonconsistent Structural Variance Estimator
• t Test in a Structural Equation
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
• Some Non-Central Distribution Problems in Multivariate Analysis
• Normal Multivariate Analysis and the Orthogonal Group

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