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  • Search: subject:"efficiency of an inconsistent estimator"
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Year of publication
Subject
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4D diagrams 2 efficiency of an inconsistent estimator 2 invalid instruments 2 simultaneity bias 2 weak instruments 2
Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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Undetermined 2
Author
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Kiviet, Jan F. 2 Niemczyk, Jerzy 2
Institution
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Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
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Tinbergen Institute Discussion Papers 2
Source
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RePEc 2
Showing 1 - 2 of 2
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The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations
Kiviet, Jan F.; Niemczyk, Jerzy - Tinbergen Instituut - 2006
This discussion paper led to a publication in <A href="http://www.sciencedirect.com/science/article/pii/S0167947306003446">'Computational Statistics & Data Analysis'</A> 51(7) 3296-318.<p>In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data...</p></a>
Persistent link: https://www.econbiz.de/10011257566
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Cover Image
The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations
Kiviet, Jan F.; Niemczyk, Jerzy - Tinbergen Institute - 2006
In practice structural equations are often estimated by least-squares, thus neglecting any simultaneity. This paper reveals why this may often be justifiable and when. Assuming data stationarity and existence of the first four moments of the disturbances we find the limiting distribution of the...
Persistent link: https://www.econbiz.de/10005137201
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