Asymptotic expansions of the distributions of the structural variance estimators in a simultaneous equations system

Kimio Morimune, Yoshihiko Tsukuda

研究成果: Article査読

1 被引用数 (Scopus)

抄録

Asymptotic expansions of three alternative classes of structural variance estimators associated with the k-class estimators of structural coefficients are derived for two parameter sequences: a sequence in which the non-centrality parameter increases while the sample size stays fixed (called large-μ or small-disturbance sequence), and that in which the number of observations increases. The accuracy of approximations to small-sample distributions are numerically examined with help of Monte Carlo studies. Properties of the sum of squared residuals of an estimated structural equation are also found from our study.

本文言語English
ページ(範囲)279-292
ページ数14
ジャーナルJournal of Econometrics
24
3
DOI
出版ステータスPublished - 1984 1月 1

ASJC Scopus subject areas

  • 経済学、計量経済学

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