An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
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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References listed on IDEAS
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- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
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- Douglas Staiger & James H. Stock, 1997.
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- repec:exe:wpaper:99/04 is not listed on IDEAS
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- Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-249, January.
- Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-180, January.
- repec:exe:wpaper:99/05 is not listed on IDEAS
- Phillips, P.C.B., 1989.
"Partially Identified Econometric Models,"
Cambridge University Press, vol. 5(02), pages 181-240, August.
- Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-448, May.
- Sargan, J D, 1974. "The Validity of Nagar's Expansion for the Moments of Econometric Estimators," Econometrica, Econometric Society, vol. 42(1), pages 169-176, January.
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