Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances

DOI10.1016/0304-4076(86)90019-9zbMath0615.62145OpenAlexW2078530535MaRDI QIDQ1820540

Julia Campos

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0304-4076(86)90019-9

zbMATH Keywords

Monte Carlo methodsMonte Carlo estimatorscontrol variatefinite-sample biasstandard errorARMA disturbancesasymptotic variance covariance matrixestimated asymptotic standard errorincomplete dynamic simultaneous-equation systemsinstrumental-variables estimatorlimited-information methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators

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