A monte carlo study of collinearity in linear simultaneous equation models∗

DOI10.1080/00949659108811346zbMath0775.62322OpenAlexW2003239428MaRDI QIDQ3135454

Oral jun. Capps, William D. Grubbs

Publication date: 7 October 1993

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659108811346

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear inference, regression (62J99)

Related Items

New Bayesian approach to the estimation in simultaneous equations model ⋮ Investigating the two parameter analysis of Lipovetsky for simultaneous systems ⋮ Multicollinearity in simultaneous equations system: evaluation of estimation performance of two-parameter estimator

Cites Work

• Unnamed Item
• Unnamed Item
• A ridge-like method for simultaneous estimation of simultaneous equations
• The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model
• Improved prediction in the presence of multicollinearity
• A Simulation Study of Some Ridge Estimators
• A Critique of Some Ridge Regression Methods
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Ridge regression:some simulations
• A Monte Carlo Evaluation of Some Ridge-Type Estimators
• Computer Generation of Normal Random Variables
• A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
• Small-Sample Properties of Simultaneous Equation Estimators with Multicollinearity
• On Certain Small Sample Properties of k-Class Estimators
• Singularity in the Equation Systems of Econometrics: Some Aspects of the Problem of Multicollinearity
• The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators
• The Problem of $m$ Rankings

This page was built for publication: A monte carlo study of collinearity in linear simultaneous equation models^∗