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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|Date of creation:||1999|
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- Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
- Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January.
- 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.
- Phillips, P.C.B., 1989.
"Partially Identified Econometric Models,"
Cambridge University Press, vol. 5(02), pages 181-240, August.
- Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-49, January.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- Kiviet, J.F. & Phillips, G.D.A., 1999. "The Bias of the 2SLS Variance Estimator," Discussion Papers 9904, Exeter University, Department of Economics.
- 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.
- 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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