Simultaneous equation estimation from undersized samples

In simultaneous equation theory a sample is said to be undersized when it is smaller than the number of exogenous variables. The sample moment matrix of these variables is then singular, but equations can nevertheless be estimated when different moments (hybrid moments based on the Theil-Laitinen maximum entropy distribution) are used. Here we evaluate the adequacy of the asymptotic standard errors formulated in terms of such moments.

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Year of publication:	1983
Authors:	Fiebig, Denzil G. ; Kidwai, Sartaj A. ; Theil, Henri
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 1.1983, 5, p. 229-232
Publisher:	Elsevier
Subject:	Entropy exogenous variables simultaneous equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254868