Finite-sample properties of limited-iinformation estimators in misspecified simultaneous equation models

References

• Anderson , T.W. and Sawa , T. 1979 . Evaluation of the distribution function of the two-stage least squares estimate . Econometrica , 47 : 163 – 182 .
   Web of Science ®Google Scholar
• Anderson , T.W. , Kunitomo , N. and Sawa , T. 1982 . Evaluation of the distribution function of the limited-information maximum likelihood estimator . Econometrica , 50 : 1009 – 1028 .
   Web of Science ®Google Scholar
• Anderson , T.W. , Kunitomo , N. and Morimune , K. 1986 . Comparing single equation estimators in asimultaneous equation system . Econometric Theory , 2 : 1 – 32 .
   Google Scholar
• Bowden , R.J. and Turkington , D.A. 1984 . Instrumental Variables , Cambridge : Cambridge University Press .
   Google Scholar
• Brent , R.P. 1974 . A Gaussian pseudo-random number generator . Communications of the Association of Computing Machinery , 17 : 704 – 706 .
   Web of Science ®Google Scholar
• Broyden , C.G. 1970 . The convergence of a class of double rank minimization algorithms, 2. The new algorithm . Journal of the Institute of Mathematics and its Applications , 6 : 222 – 231 .
   Google Scholar
• Davies , R.B. 1973 . Numerical inversion of a characteristic function . Biometrika , 60 : 415 – 417 .
   Web of Science ®Google Scholar
• Davies , R.B. 1980 . Alg.AS155. The distribution of a linear combination of X 2 random variables . Applied Statistics , 29 : 323 – 333 .
   Google Scholar
• Fisher , F.M. 1961 . On the cost of approximate specification in simultaneous equation estimators . Econometrica , 29 : 139 – 170 .
   Web of Science ®Google Scholar
• Fisher , F.M. 1966 . The relative sensitivity to specification error of different K-class estimators . Journal of the American Statistical Association , 61 : 345 – 356 .
   Web of Science ®Google Scholar
• Fisher , F.M. 1967 . Approximate specification and the choice of K-class estimator . Journal of theAmerican Statistical Association , 62 : 1265 – 1276 .
   Google Scholar
• Fletcher , R. 1970 . A new approach to variable metric algorithms . Computer Journal , 13 : 317 – 322 .
   Web of Science ®Google Scholar
• Goldfarb , D. 1970 . A family of variable metric methods derived by variational means . Mathematics of Computation , 24 : 23 – 26 .
   Web of Science ®Google Scholar
• Hale , C. , Mariano , R.S. and Ramage , J.G. 1980 . Finite-sample analysis in simultaneous equation models . Journal of the American Statistical Association , 75 : 418 – 427 .
   Web of Science ®Google Scholar
• Hillier G. Joint distribution theory for some statistics based on LIML and TSLS Cowles Foundation Discussion Paper no. 840 1987
   Google Scholar
• Imhof , J.P. 1961 . Computing the distribution of quadratic forms in normal variables . Biometrika , 48 : 419 – 426 .
   Web of Science ®Google Scholar
• Lye , J.N. 1990a . The numerical evaluation of the distribution function of a bilinear form to a quadratic form with econometric examples . Econometric Reviews , 48 Forthcoming
   Google Scholar
• Lye , J.N. 1990b . “ Some Contributions to Finite Sample Analysis in Three Econometric Models ” . In Ph.D.Thesis , University of Canterbury . Department of Economics
   Google Scholar
• Mariano , R.S. and Ramage , J.G. 1978 . Ordinary least squares versus other single equation stimators: A return bout under misspecification in simultaneous systems , University of Pennsylvania . Discussion paper no.400 Department of Economics
   Google Scholar
• Mariano , R.S. and Ramage , J.G. 1983 . “ Specification error analysis in linear simultaneous equation models ” . In Advances in Econometrics Vol 2: Exact Distribution Analysis in Linear Simultaneous Equation Models , Edited by: Basmann , R.L. and Rhodes , G.F. Vol. 2 , 51 – 96 . Greenwich : JAI Press .
   Google Scholar
• Phillips , P.C.B. 1982 . Small sample distribution theory in econometric models of simultaneous equations , Yale University . Cowles Foundation discussion paper no. 617
   Google Scholar
• Phillips , P.C.B. 1983 . “ Marginal densities of instrumental variable estimators in the general single equation case ” . In Advances in Econometrics: Exact Distribution Analysis in Linear SEM's , Edited by: Bassmann , R. and Rhodes , G.F. 1 – 24 . JAI Press .
   Google Scholar
• Phillips , P.C.B. 1984 . The exact distribution of exogenous variable coefficient estimators . Journal of Econometrics , 26 : 387 – 398 .
   Web of Science ®Google Scholar
• Rhodes , G. and Westbrook , D. 1981 . A study of estimator densities and performance under misspecification . Journal of Econometrics , 16 : 311 – 337 .
   Web of Science ®Google Scholar
• Rhodes , G. and Westbrook , D. 1983 . “ Simultaneous equations estimators, identifiability test-statistics and structural form ” . In Advances in Econometrics Vol. 2: Exact Distribution Analysis in Linear Simultaneous Equation Models , Edited by: Basmann , R.L. and Rhodes , G.F. Vol. 2 , 129 – 196 . Greenwich : JAI Press .
   Google Scholar
• Shanno , D.F. 1970 . Conditioning of quasi-Newton methods for function minimization . Mathematics of Computation , 24 : 647 – 656 .
   Web of Science ®Google Scholar
• Tapia , R.A. and Thompson , J.R. 1978 . Nonparametric Probability Density Estimation , Baltimore : Johns Hopkins Press .
   Google Scholar
• Taylor , W.E. 1983 . On the relevance of finite-sample distribution theory . Econometric Reviews , 21 : 1 – 139 .
   Google Scholar
• Ullah , A. 1988 . Nonparametric estimation of econometric functionals . Canadian Journal of Economics , 21 : 625 – 658 .
   Web of Science ®Google Scholar
• Zellner , A. 1979 . Statistical analysis of econometric models . Journal of the American Statistical Association , 74 : 628 – 651 .
   Web of Science ®Google Scholar