Conditional Prediction and Unbiasedness in Structural Equations

Conditional Prediction and Unbiasedness in Structural Equations

The usual least squares estimator of a set of reduced form parameters is unbiased. We show here that a certain conditional least squares estimator is also unbiased, and record some related distribution theory.

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Bibliographische Detailangaben
Veröffentlicht in:Econometrica 1969-01, Vol.37 (1), p.44-49
1. Verfasser: Kaufman, Gordon M.
Format: Artikel
Sprache:eng
Schlagworte:
Covariance matrices
Estimators
Euclidean space
Jacobians
Least squares
Mathematical vectors
Matrices
Random variables
Statistical variance
Unbiased estimators
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Beschreibung
Zusammenfassung:The usual least squares estimator of a set of reduced form parameters is unbiased. We show here that a certain conditional least squares estimator is also unbiased, and record some related distribution theory.
ISSN:0012-9682
1468-0262
DOI:10.2307/1909203