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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1984
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sg-smu-ink.soe_research-13002010-09-23T05:48:03Z Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model TSE, Yiu Kuen 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. 1984-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/301 info:doi/10.1080/03610918408812400 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Economics |
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Economics TSE, Yiu Kuen Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model |
| description |
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. |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model |
| title_short |
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model |
| title_full |
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model |
| title_fullStr |
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model |
| title_full_unstemmed |
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model |
| title_sort |
edgeworth approximations for t-ratios of 2sls estimates of a dynamic model |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1984 |
| url |
https://ink.library.smu.edu.sg/soe_research/301 |
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1770569104119300096 |