An Alternative Approach to Obtaining Nagar-Type Moment Approximations in Sumultaneous 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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- Peter C.B. Phillips, 1987.
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Cowles Foundation Discussion Papers
845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
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- Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January.
- Kiviet, J.F. & Phillips, G.D.A., 1999. "The Bias of the 2SLS Variance Estimator," Discussion Papers 9904, Exeter University, Department of Economics.
- Sargan, J D, 1974. "The Validity of Nagar's Expansion for the Moments of Econometric Estimators," Econometrica, Econometric Society, vol. 42(1), pages 169-76, January.
- repec:exe:wpaper:99/05 is not listed on IDEAS
- Kadane, Joseph B, 1971. "Comparison of k-Class Estimators when the Disturbances are Small," Econometrica, Econometric Society, vol. 39(5), pages 723-37, September.
- Harvey, A C & Phillips, G D A, 1980. "Testing for Serial Correlation in Simultaneous Equation Models," Econometrica, Econometric Society, vol. 48(3), pages 747-59, April.
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