Limited information estimator of a dynamic structural equation with autocorrelated arrors: a correction and new evidence

DOI10.1080/00949659008811227zbMath0726.62177OpenAlexW2000026053MaRDI QIDQ3350616

A. Buse, B. Moazzami

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1080/00949659008811227

zbMATH Keywords

Monte Carlo evaluationcorrected mean square errorsFair estimatorsinstrument choices in applied workSargan's 2SLSTheil's generalized two stage least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Cites Work

• Unnamed Item
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^†
• A Comparison of Some Limited Information Estimators for Dynamic Simultaneous Equations Models with Autocorrelated Errors
• A Comparative Monte Carlo Study of the Properties of Econometric Estimators
• The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors

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