Finite-sample properties of limited-iinformation estimators in misspecified simultaneous equation models

DOI10.1080/00949659108811359zbMath0775.62335OpenAlexW2039256243MaRDI QIDQ3135457

J. N. Lye

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/10.1080/00949659108811359

Mathematics Subject Classification ID

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

Cites Work

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• The exact distribution of exogenous variable coefficient estimators
• A study of estimator densities and performance under misspecification
• Finite Sample Analysis of Misspecification in Simultaneous Equation Models
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator
• Algorithm 488: A Gaussian pseudo-random number generator
• Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
• Computing the distribution of quadratic forms in normal variables
• The Relative Sensitivity to Specification Error of Different k-Class Estimators
• The Convergence of a Class of Double-rank Minimization Algorithms
• A new approach to variable metric algorithms
• Numerical inversion of a characteristic function
• On the Cost of Approximate Specification in Simultaneous Equation Estimation

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