共查询到9条相似文献,搜索用时 4 毫秒
1.
Badi H. Baltagi 《Econometric Reviews》2013,32(2):165-169
This paper utilizes the results of Kruskal (1968), Zyskind (1967), and more recently Milliken and Albohali (1984) to derive a simple necessary and sufficient condition for 3SLS to be equivalent to 2SLS. This condition depends upon the inverse of the variance:covariance matrix of the disturbances, and the set of second stage regressors of each structural equation. More importantly, this condition should prove useful for econometric students and provides an easy method for checking sufficiency. 相似文献
2.
Gunar Schröer 《Statistical Papers》1999,40(4):407-438
This paper considers single-equation estimation of simultaneous equation models with integrated processes. The aim of the
paper is to investigate asymptotic and small sample properties of some estimators in this framework. We deal with two groups
of estimators: such that originally were designated for reduced form estimation and such for simultaneous equation models.
In the first group we deal with Least Squares and Fully Modified Least Squares. The second group comprises Two Stage Least
Squares and two modifications of it. The asymptotic analysis in section 2 shows that it is true that all estimators are super-consistent
in this context but in principle, only the methods of the second group enable valid inference. Section 3 presents the results
of a simulation study which is designed for specific problems of simultaneous equation models.
This paper was presented at the European Meeting of the Econometric Society in Istanbul, 1996. The author thanks an anonymous
referee for helpful suggestions. 相似文献
3.
4.
Lee Lung-Fei 《Econometric Reviews》1992,11(3):319-328
Amemiya's generalized least squares method for the estimation of simultaneous equation modeis with qualitative or limited dependent variables is known to be efficient relative to many popular two stage estimators. This note points out that test statistics for overidentification restrictions can be obtained as by-products of Amerniya's generalized least squares procedure. Amemiya's procedure is shown to be a minimum chisquare method. The Amemiya procedure is valuable both for efficient estimation and for model evaluation of such models. 相似文献
5.
Jong-Wuu Wu 《Statistical Papers》2001,42(4):489-503
In this paper, we suggest a least squares procedure for the determination of the number of upper outliers in an exponential sample by minimizing sample mean squared error. Moreover, the method can reduce the masking or “swamping” effects. In addition, we have also found that the least squares procedure is easy and simple to compute than test test procedure T k suggested by Zhang (1998) for determining the number of upper outliers, since Zhang (1998) need to use the complicated null distribution of T k . Moreover, we give three practical examples and a simulated example to illustrate the procedures. Further, simulation studies are given to show the advantages of the proposed method. Finally, the proposed least squares procedure can also determine the number of upper outliers in other continuous univariate distributions (for example, Pareto, Gumbel, Weibull, etc.). Received: May 10, 1999; revised version: June 5, 2000 相似文献
6.
Equivalent conditions are derived for the equality of GLSE (generalized least squares estimator) and partially GLSE (PGLSE), the latter introduced by Amemiya (1983). By adopting a more general approach the ordinary least squares estimator (OLSE) can shown to be a special PGLSE. Furthcrmore, linearly restricted estimators proposed by Balestra (1983) are investigated in this context. To facilitate the comparison of estimators extensive use of oblique and orthogonal projectors is made. 相似文献
7.
The asymptotic distribution of estimators generated by the methods of moments and maximum likelihood are considered. Simple formulae are provided which enable comparisons of asymptotic relative efficiency to be effected. 相似文献
8.
The equality of ordinary least squares estimator (OLSE), best linear unbiased estimator (BLUE) and best linear unbiased predictor (BLUP) in the general linear model with new observations is investigated through matrix rank method, some new necessary and sufficient conditions are given. 相似文献
9.
On the comparison of the pre-test and shrinkage estimators for the univariate normal mean 总被引:1,自引:1,他引:0
The estimation of the mean of an univariate normal population with unknown variance is considered when uncertain non-sample
prior information is available. Alternative estimators are defined to incorporate both the sample as well as the non-sample
information in the estimation process. Some of the important statistical properties of the restricted, preliminary test, and
shrinkage estimators are investigated. The performances of the estimators are compared based on the criteria of unbiasedness
and mean square error in order to search for a ‘best’ estimator. Both analytical and graphical methods are explored. There
is no superior estimator that uniformly dominates the others. However, if the non-sample information regarding the value of
the mean is close to its true value, the shrinkage estimator over performs the rest of the estimators.
Received: June 19, 1999; revised version: March 23, 2000 相似文献