SMALL-SAMPLE PROPERTIES OF VARIOUS SIMULTANEOUS-EQUATION ESTIMATORS: THE RESULTS OF SOME MONTE-CARLO EXPERIMENTS,

Abstract

This study reports the results of 172 Monte Carlo experiments on the small-sample properties of some simultaneous equation estimators. The estimators studied were Direct Least-Squares, Two-Stage Least-Squares, Nagar's Unbiased k-Class Estimator, Limited-Information Maximum-Likelihood, Three-Stage Least-Squares, FullInformation Maximum-Likelihood and Least-Squares used to estimate the reduced form. The estimates of the structural equations, their standard errors, the estimates of the variance-covariance matrix of disturbances, the estimates of the reduced-form coefficients and the predictive ability of the methods were examined. (Author)

Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1964
Accession Number
AD0610085

Entities

People

  • J. G. Cragg

Organizations

  • Princeton University

Tags

DTIC Thesaurus Topics

  • Coefficients
  • Covariance
  • Data Science
  • Equations
  • Estimators
  • Information Science
  • Mathematics
  • Simultaneous Equations
  • Standards
  • Statistical Algorithms
  • Statistical Analysis

Fields of Study

  • Mathematics

Readers

  • Regression Analysis.
  • Statistical inference.