Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model
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 approxim...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
1984
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/301 |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | 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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