The 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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Paper provided by University of Exeter, School of Business and Economics in its series Discussion Papers with number
99/05.
Length: 28 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:exetec:99/05
Contact details of provider: Postal: School of Business and Economics University of Exeter Streatham Court Rennes Drive Exeter EX4 4PU Phone: (01392) 263218 Fax: (01392) 263242 Web page: http://www.exeter.ac.uk/sobe/ More information through EDIRC
Find related papers by JEL classification: C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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