Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks

DOI10.1016/j.csda.2004.05.031zbMath1429.62675OpenAlexW2142622720MaRDI QIDQ957214

Agnes S. Joseph, Jan F. Kiviet

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://papers.tinbergen.nl/04056.pdf

zbMATH Keywords

computer algebraasymptotic efficiency comparisonscomputational visualizationdynamic simultaneous modelsinstrument weakness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08)

Related Items (7)

On the precision of Calvo parameter estimates in structural NKPC models ⋮ Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation ⋮ Estimation uncertainty in structural inflation models with real wage rigidities ⋮ Second special issue on computational econometrics ⋮ Finite sample multivariate tests of asset pricing models with coskewness ⋮ The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations ⋮ Identification-robust simulation-based inference in joint discrete/continuous models for energy markets

Cites Work

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• Initial conditions and moment restrictions in dynamic panel data models
• Instrumental Variables Regression with Weak Instruments
• Dynamic Econometrics
• Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments

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