Mikhail (1972a) found that estimated 2SLS biases, obtained through simulation using antithetic variables and control variate methods, were closer to each other than to Nagar's bias approximation to order T-1. As remarked by Kiviet and Phillips (1996), this result represents one of a very small number of higher order approximations in the econometric literature yet there is no published evidence of its accuracy. In this paper the accuracy of the approximation is explored in the context of a framework similar to that chosen by Mikhail (1972a) and it is found that the higher order approximation is clearly superior. In cases where the bias is severe, the results support the belief that, when the first order approximation is poor but not terrible, the higher order approximation mops up most of the error.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Publisher Info
Paper provided by University of Exeter, School of Business and Economics in its series Discussion Papers with number
99/06.
Length: 16 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:exetec:99/06
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: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)