Disturbance-Variance Estimation in Simultaneous Equations When Disturbances are Small
小扰动下联立方程模型的扰动方差估计
Employing the small-disturbance approach, I study the bias and mean squared error of a class of estimators of the variance of the disturbances in a simultaneous linear stochastic equation model. The estimator considered is the residual sum of squares after estimation of the structural parameters by a k-class estimator, divided by an arbitrary scalar. The scalar which minimizes the mean squared error is (T—n+2), regardless of which k-class estimator is used, where T is the…