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来源类型Working Paper
规范类型报告
DOI10.3386/t0176
来源IDTechnical 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
URLhttps://www.nber.org/papers/t0176
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/562478
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Kenneth D. West,David W. Wilcox. A Comparison of Alternative Instruments Variables Estimators of a Dynamic Linear Model. 1995.
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