Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator

Monte Carlo evidence is provided that suggests that the continuous updating estimator might have a moment problem. In the linear simultaneous equation model, its performance in terms of sample median and standard deviation is virtually identical to the one of the limited information maximum likelihood estimator.

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Year of publication:	2005
Authors:	Guggenberger, Patrik
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2005, 13, p. 1-6
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110810