NOTES AND COMMENTS ALTERNATIVE ESTIMATORS OF FIML COVARIANCE MATRIX: A MONTE CARLO STUDY: 1. MOTIVATION

NOTES AND COMMENTS ALTERNATIVE ESTIMATORS OF FIML COVARIANCE MATRIX: A MONTE CARLO STUDY: 1. MOTIVATION

GREAT EFFORT HAS BEEN PLACED and is currently being placed in the literature on the investigation of parameters' estimators for simultaneous equation systems. The fact that asymptotically equivalent estimators may have quite different distributions for the sample sizes occurring in practice is...

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Veröffentlicht in:Econometrica 1988-05, Vol.56 (3), p.701
Hauptverfasser: Calzolari, Giorgio, Panattoni, Lorenzo
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Hypotheses
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container_title Econometrica
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creator Calzolari, Giorgio
Panattoni, Lorenzo
description GREAT EFFORT HAS BEEN PLACED and is currently being placed in the literature on the investigation of parameters' estimators for simultaneous equation systems. The fact that asymptotically equivalent estimators may have quite different distributions for the sample sizes occurring in practice is so well known that no model builder feels anymore in trouble when noticing, for instance, that coefficients obtained by applying three stage least squares to his model may look quite different from those obtained by full information maximum likelihood.
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source Jstor Complete Legacy; JSTOR Mathematics & Statistics
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title NOTES AND COMMENTS ALTERNATIVE ESTIMATORS OF FIML COVARIANCE MATRIX: A MONTE CARLO STUDY: 1. MOTIVATION
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