An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
AbstractThe paper examines asymptotic expansions for estimation errors expressed explicitly as functions of unferlying random variables. Taylor series expansions are obtained from which first and secomd moment approximationc are derived. While the expansions are essentially equivalent to the traditional Nagar-tupe, the terms are expressed in a form which enables moment approximations to be obtained in a particular straightforward way, once the partial derivatives have been found. The approach is illustrated by considering the k-class estimators in a static simultaneous equation model where the distrubances are non-spherical.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 97 (2000)
Issue (Month): 2 (August)
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Web page: http://www.elsevier.com/locate/jeconom
Other versions of this item:
- Phillips, G.D.A., 1999. "An Alternative Approach to Obtaining Nagar-Type Moment Approximations in Sumultaneous Equation Models," Discussion Papers 9905, Exeter University, Department of Economics.
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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- Phillips, P.C.B., 1989.
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Cambridge University Press, vol. 5(02), pages 181-240, August.
- Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January.
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- repec:fth:exetec:99/04 is not listed on IDEAS
- Iglesias, Emma M. & Phillips, Garry D.A., 2011. "Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments," Cardiff Economics Working Papers E2011/19, Cardiff University, Cardiff Business School, Economics Section.
- Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
- Phillips, Garry D.A. & Liu-Evans, Gareth, 2011. "The Robustness of the Higher-Order 2SLS and General k-Class Bias Approximations to Non-Normal Disturbances," Cardiff Economics Working Papers E2011/20, Cardiff University, Cardiff Business School, Economics Section.
- Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis, . "Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors," Discussion Papers 14/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Kiviet, Jan F. & Phillips, Garry D.A., 2014. "Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 424-448.
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