| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0176 |
| 来源ID | Technical Working Paper 0176 |
| A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model | |
| Kenneth D. West; David W. Wilcox | |
| 发表日期 | 1995-03-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, we compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional one (Hansen (1985)). We find that for some plausible data generating processes, the optimal one is distinctly more efficient asymptotically. Simulations indicate that in samples of size typically available, asymptotic theory describes the distribution of the parameter estimates reasonably well, but that test statistics sometimes are poorly sized. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0176 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562478 |
| 推荐引用方式 GB/T 7714 | Kenneth D. West,David W. Wilcox. A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0176.pdf（1076KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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