An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models

DOI10.1016/S0304-4076(99)00075-5zbMath0968.62020MaRDI QIDQ1586562

Garry D. A. Phillips

Publication date: 17 September 2001

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

zbMATH Keywords

simultaneous equations modelnon-spherical disturbancesbias approximationsNagar expansionssecond moment approximations

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (3)

Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models ⋮ Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models ⋮ Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors

Cites Work

• The commutation matrix: Some properties and applications
• On resampling methods for variance and bias estimation in linear models
• The bias of the 2SLS variance estimator
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• The Existence of Moments of k-Class Estimators
• Testing for Serial Correlation in Simultaneous Equation Models
• The Bias of Instrumental Variable Estimators
• Econometric Estimators and the Edgeworth Approximation
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• The Validity of Nagar's Expansion for the Moments of Econometric Estimators
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
• Comparison of k-Class Estimators When the Disturbances Are Small
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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