Edgeworth approximations for t-ratios of 2SLS estimates of a dynamic model
作者:
Y. K. Tse,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1984)
卷期:
Volume 13,
issue 5
页码: 603-618
ISSN:0361-0918
年代: 1984
DOI:10.1080/03610918408812400
出版商: Marcel Dekker, Inc.
关键词: dynamic simultaneous equation model;Nagar approximation;Edgeworth approximation
数据来源: Taylor
摘要:
Little is known about the small sample distributions of t-ratios of estimates of coefficients of dynamic simultaneous equation models. This paper investigates the Edgeworth and Nagar approximate distributions of the t-ratios of 2SLS estimates of an artificial two-equation dynamic model. The approximations are compared with probabilities estimated by a Monte Carlo experiment. The results show that the Edgeworth and Nagar approximations are better than the asymptotic normal.
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