Exact Small Sample Theory in the Simultaneous Equations Model

Keywords

Sample (material), Mathematics, Econometrics, Economics, Mathematical economics

References

• 014: On the "Probable Error" of a Coefficient of Correlation Deduced from a Small Sample.Ronald Aylmer Fisher — 1921
• Statistical Methods of Econometrics. by E. MalinvaudEjnar Lyttkens, Edmond Malinvaud — 1972
• THE EXACT FINITE SAMPLE DISTRIBUTION OF JOINT LEAST SQUARES ESTIMATORS FOR SEEMINGLY UNRELATED REGRESSION EQUATIONSYusaku Kataoka — 1974
• On A Third Order Optimum Property of The LIML Estimator When the Sample Size is LargeNaoto Kunitomo — 1981
• Asymptotic Expansions of IntegralsNorman Bleistein, Richard A. Handelsman — 1975
• Estimation of functions of population means and regression coefficients including structural coefficients : A minimum expected loss (MELO) approachArnold Zellner — 1978
• Small Sample Distribution Theory in Econometric Models of Simultaneous EquationsPeter C.B. Phillips — 1982
• Marginal Densities of Instrumental Variable Estimators in the General Single Equation CasePeter C.B. Phillips — 1981
• A New Approach to Small Sample TheoryPeter C.B. Phillips — 1981
• Calculation of Zonal Polynomial Coefficients by Use of the Laplace-Beltrami OperatorA. T. James — 1968
• On the Effect of Multicollinearity Upon the Properties of Structural Coefficient EstimatorsRobert S. Mariano, James B. McDonald, Asher Tisher — 1979
• The exact, large-sample and small-disturbance conditions of dominance of biased estimators in linear modelsAman Ullah — 1980
• An approximation of the distribution function of the LIML identifiability test statistic using the method of momentsJames B. McDonald — 1974
• Advanced Complex CalculusE. H. Cutler, Kenneth S. Miller — 1971
• The Finite Sampling Distribution of Least Squares Estimators with Stochastic RegressorsLeon L. Wegge — 1971
• Random Parameters in a Simultaneous Equation Framework: Identification and EstimationHarry H. Kelejian — 1974
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference EquationP. C. B. Phillips — 1977
• Evaluation of the Distribution Function of the Two-Stage Least Squares EstimateT. W. Anderson, Takamitsu Sawa — 1979
• Normal Approximation and Asymptotic ExpansionsRabi Bhattacharya, R. Ranga Rao — 1976
• Some large-concentration-parameter asymptotics for the k-class estimatorsRoberto S. Mariano — 1975

Cited by

• Bootstrap Tests for Overidentification in Linear Regression ModelsRussell Davidson, James G. MacKinnon — 2015
• Avoiding the Pitfalls of Instrumental Variables Estimation with Few or Many InstrumentsMichael P. Murray — 2011
• estimation and inference with weak instruments and near exogeneityYing Fang — 2006
• Estimation of Sparse Structural Parameters with Many Endogenous VariablesZhentao Shi — 2016
• On the Bias and MSE of the IV Estimator Under Weak IdentificationJohn C. Chao — 2000
• Semiparametric Estimation in Simultaneous Equations of Time Series ModelsJiti Gao, Peter C.B. Phillips — 2010
• Chi-Square Diagnostic Tests for Econometric Models: Introduction and ApplicationsDonald W. K. Andrews — 1988
• Microsimulation and analysis of income distribution: An application to ItalyCarlo V. Fiorio — 2009
• Shrinkage methods for instrumental variable estimationRyo Okui — 2004
• A Little Magic with the Cauchy DistributionPeter C.B. Phillips — 1989
• Simulation-Based Finite-Sample Inference in Simultaneous EquationsLynda Khalaf, Jean‐Marie Dufour — 2004
• Semiparametric Estimation in Time Series of Simultaneous EquationsJiti Gao, Peter C.B. Phillips — 2010
• Some exact distribution theory for maximum likelihood estimators of cointegrating coefficientsPeter C.B. Phillips — 1994
• A retrospective on J.D. Sargan and his contribution to EconometricsNeil R. Ericsson, Esfandiar Maasoumi, Grayham E. Mizon — 2001
• Finite-Sample Optimality of Tests in a Structural EquationRandolph Tan — 2000
• Partially Identified Econometric ModelsPeter C.B. Phillips — 1988
• Inference and Thick Tails: Some Surprising ResultsCarlo V. Fiorio, Vassilis A. Hajivassiliou — 2007
• Exact Small Sample Properties of the Instrumental Variable Estimator. A View From a Different AngleHalvor Mehlum — 2004
• Economics of military outsourcingPeter MacDonald — 2010
• Financial contagion and tests using instrumental variablesAndreas Pick — 2007

Related papers

• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable EstimatorC. Dana Nelson, Richard Startz — 1988
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic EquationsT. W. Anderson, Herman Rubin — 1949
• Problems with Instrumental Variables Estimation when the Correlation between the Instruments and the Endogenous Explanatory Variable is WeakJohn Bound, David A. Jaeger, Regina Baker — 1995
• LARGE SAMPLE PROPERTIES OF GENERALIZED METHOD OFLars Peter Hansen — 1982
• Approximating the distributions of econometric estimators and test statisticsThomas J. Rothenberg — 1984
• A Conditional Likelihood Ratio Test for Structural ModelsMarcelo J. Moreira — 2003
• Pivotal statistics for testing structural parameters in instrumental variables regressionFrank Kleibergen — 2002