On the Sensitivity of Simultaneous-Equations Estimators to the Stochastic Assumptions of the Models
作者:
J.G. Cragg,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1966)
卷期:
Volume 61,
issue 313
页码: 136-151
ISSN:0162-1459
年代: 1966
DOI:10.1080/01621459.1966.10502014
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The paper reports the results of several sampling experiments investigating the sensitivity of various simultaneous-equations estimators to errors in the exogenous variables, stochastic coefficients, heteroskedastic disturbances and auto correlated disturbances. The estimates studied are direct least squares, two-stage least squares, Nagar's unbiasedk-class estimator, limited-information maximum likelihood, three-stage least squares, and full-information maximum likelihood. Stochastic coefficients altered the ranking of the estimators and increased their dispersions greatly. The other conditions did not produce great changes in the rankings of the estimators, the central tendencies of their distributions or the usefulness of their standard errors.
点击下载:
PDF (1081KB)
返 回