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The bias of the ordinary least squares estimator in simultaneous equation models

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  • Kiviet, Jan F.
  • Phillips, Garry D. A.

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  • Kiviet, Jan F. & Phillips, Garry D. A., 1996. "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, vol. 53(2), pages 161-167, November.
    • Handle: RePEc:eee:ecolet:v:53:y:1996:i:2:p:161-167
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    References listed on IDEAS

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    1. Fujikoshi, Yasunori & Morimune, Kimio & Kunitomo, Naoto & Taniguchi, Masanobu, 1982. "Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system," Journal of Econometrics, Elsevier, vol. 18(2), pages 191-205, February.
    2. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(1), pages 62-80, January.
    3. Kadane, Joseph B, 1971. "Comparison of k-Class Estimators when the Disturbances are Small," Econometrica, Econometric Society, vol. 39(5), pages 723-737, September.
    4. Sawa, Takamitsu, 1973. "Almost Unbiased Estimator in Simultaneous Equations Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(1), pages 97-106, February.
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    Cited by:

    1. Symeonides Spyridon D. & Karavias Yiannis & Tzavalis Elias, 2017. "Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-41, January.
    2. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 505-520, June.
    3. Liu-Evans, Gareth, 2014. "A note on approximating moments of least squares estimators," MPRA Paper 57543, University Library of Munich, Germany.
    4. Jan F. Kiviet, 2013. "Identification and inference in a simultaneous equation under alternative information sets and sampling schemes," Econometrics Journal, Royal Economic Society, vol. 16(1), pages 24-59, February.
    5. Rault, Christophe, 2000. "Non-causality in VAR-ECM models with purely exogeneous long-run paths," Economics Letters, Elsevier, vol. 67(2), pages 121-129, May.
    6. Liu-Evans Gareth D. & Phillips Garry D. A., 2012. "Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-35, November.
    7. Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.

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