Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model
We evaluate some aspects of the finite sample distribution of an instrumental variables estimator of a first order condition of the Holt et al. (1960) linear quadratic inventory model. We find that for some but not all empirically relevant data generating processes and sample sizes, asymptotic theory predicts a wide dispersion of parameter estimates, with a substantial finite sample probability of estimates with incorrect signs. For such data generating processes, simulation evidence suggests that different choices of left hand side variables often produce parameter estimates of an opposite sign. More generally, while the asymptotic theory often provides a good approximation to the finite sample distribution, sometimes it does not
|Date of creation:||Jul 1993|
|Date of revision:|
|Publication status:||published as Inventory Cycles and Monetary Policy, ed. Ricardo Fiorito, Springer-Verlagforthcoming 1994|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
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