An Alternative Approach to Obtaining Nagar-Type Moment Approximations in Sumultaneous Equation Models
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Other versions of this item:
- Phillips, Garry D. A., 2000. "An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 97(2), pages 345-364, August.
References listed on IDEAS
- Kiviet, J.F. & Phillips, G.D.A., 1999. "The Bias of the 2SLS Variance Estimator," Discussion Papers 9904, Exeter University, Department of Economics.
- Phillips, P.C.B., 1989. "Partially Identified Econometric Models," Econometric Theory, 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.
- 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.
- repec:exe:wpaper:99/05 is not listed on IDEAS
- Kinal, Terrence W, 1980. "The Existence of Moments of k-Class Estimators," Econometrica, Econometric Society, vol. 48(1), pages 241-249, January.
- Sargan, J D, 1974. "The Validity of Nagar's Expansion for the Moments of Econometric Estimators," Econometrica, Econometric Society, vol. 42(1), pages 169-176, January.
- Harvey, A C & Phillips, G D A, 1980. "Testing for Serial Correlation in Simultaneous Equation Models," Econometrica, Econometric Society, vol. 48(3), pages 747-759, April.
- repec:exe:wpaper:99/04 is not listed on IDEAS
- Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-180, January.
- 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 723-737, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Spyridon D. Symeondes & Yiannis Karavias & Elias Tzavalis, "undated". "Size corrected significance tests in Seemingly Unrelated Regressions with autocorrelated errors," Discussion Papers 14/01, University of Nottingham, Granger Centre for Time Series Econometrics.
- Iglesias, Emma M. & Phillips, Garry D.A., 2011. "Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments," Cardiff Economics Working Papers E2011/19, Cardiff University, Cardiff Business School, Economics Section.
- Phillip, Garry & Xu, Yongdeng, 2016. "Almost Unbiased Variance Estimation in Simultaneous Equation Models," Cardiff Economics Working Papers E2016/10, Cardiff University, Cardiff Business School, Economics Section.
- Kiviet, Jan F. & Phillips, Garry D.A., 2014.
"Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 424-448.
- Jan F. KIVIET & Garry D.A. PHILLIPS, 2012. "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth Centre Working Paper Series 1206, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Liu-Evans, Gareth, 2014. "A note on approximating moments of least squares estimators," MPRA Paper 57543, University Library of Munich, Germany.
- Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
- Phillips, Garry D.A. & Liu-Evans, Gareth, 2016. "Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 734-762.
- Phillips, Garry D.A. & Liu-Evans, Gareth, 2011. "The Robustness of the Higher-Order 2SLS and General k-Class Bias Approximations to Non-Normal Disturbances," Cardiff Economics Working Papers E2011/20, Cardiff University, Cardiff Business School, Economics Section.
More about this item
KeywordsREGRESSION ANALYSIS ; ECONOMETRICS;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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