Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator
AbstractMonte Carlo evidence is provided that suggests that the continuous updating estimator might have a moment problem. In the linear simultaneous equation model, its performance in terms of sample median and standard deviation is virtually identical to the one of the limited information maximum likelihood estimator.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2005)
Issue (Month): 13 ()
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Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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