Finite-Sample Analysis of Misspecificaton in Simultaneous Equation Models

• Main Authors: Mariano, Roberto S., Hale, C., Ramage, J. G.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1980
• Subjects: Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/157
• Institution: Singapore Management University

This article examines the effects of misspecification on the exact sampling distributions of the k-class estimators of a single equation in a simultaneous equations model. The analysis focuses on the effects of excluding relevant exogenous variables. The misspecification may occur in either the esti...