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The Exact Mean of the Two-Stage Least Squares Estimator of the Structural Parameters in an Equation Having Three Endogenous Variables
含三个内生变量方程中结构参数两阶段最小二乘估计量的精确均值
Aman Ullah, A. L. Nagar, The Exact Mean of the Two-Stage Least Squares Estimator of the Structural Parameters in an Equation Having Three Endogenous Variables, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 749-758
The Moment Matrix of the Two-Stage Least-Squares Estimator of Coefficients in Different Equations of a Complete System of Simultaneous Equations
A. L. Nagar, Y. P. Gupta, The Moment Matrix of the Two-Stage Least-Squares Estimator of Coefficients in Different Equations of a Complete System of Simultaneous Equations, Econometrica, Vol. 38, No. 1 (Jan., 1970), pp. 39-49
The Bias of Liviatan's Consistent Estimator in a Distributed Lag Model
The Bias and Moment Matrix of a Mixed Regression Estimator
Testing the Independence of Regression Disturbances
回归扰动独立性的检验
This article deals with the distribution of the Von Neumann ratio of least-squares estimated regression disturbances. This distribution is approximated by a beta distribution under the condition that the behaviour of explanatory variables of the regression over time is sufficiently smooth. Two examples are presented, together with a table containing 1 and 5 per cent significance limits for a number of observations ranging from 15 to 100 and a number of coefficients adjusted…
The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model
结构计量经济模型的简化式系数与预测值的协方差矩阵
A. S. Goldberger, A. L. Nagar, H. S. Odeh, The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model, Econometrica, Vol. 29, No. 4 (Oct., 1961), pp. 556-573
A Note on the Residual Variance Estimation in Simultaneous Equations
A Monte Carlo Study of Alternative Simultaneous Equation Estimators
不同联立方程估计量的蒙特卡洛研究
We study the small sample properties of the simultaneous equation estimators by a Monte Carlo approach. The four methods of estimation considered are: least squares, two-stage least squares, unbiased and minimumsecond-moment. The last of these four methods possesses the smallest secondorder sampling moments about the true parameter value in a majority of cases, while two-stage least squares shows the smallest bias in all cases. It is also founld that the usual asymptotic…