The bias of the 2SLS variance estimator

DOI10.1016/S0165-1765(99)00233-5zbMath0990.62020OpenAlexW2168032549MaRDI QIDQ1606275

Jan F. Kiviet, Garry D. A. Phillips

Publication date: 24 July 2002

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00233-5

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10)

Related Items (3)

Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models ⋮ A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators ⋮ An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models

Cites Work

• The bias of the ordinary least squares estimator in simultaneous equation models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• A Note on the Residual Variance Estimation in Simultaneous Equations
• The Existence of Moments of k-Class Estimators
• Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
• Comparison of k-Class Estimators When the Disturbances Are Small
• The Bias of the Two-Stage Least Squares Estimator

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