The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors†

DOI10.1080/00949658608810949zbMath0657.62128OpenAlexW2006698650MaRDI QIDQ3805716

No author found.

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/00949658608810949

zbMATH Keywords

least squares2SLSautocorrelated errorssmall sample propertiestwo-step estimatorsdynamic structural equation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Linear inference, regression (62J99)

Related Items (1)

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

Cites Work

• Unnamed Item
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
• An efficient two-step estimator for the dynamic adjustment model with autoregressive errors
• The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals
• 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 Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
• The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors
• Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
• Small-Sample Estimation of a Structural Equation with Autocorrelated Errors

This page was built for publication: The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^†