Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
This paper obtains the score vector, the information matrix and the asymptotic Cramer-Rao lower bound for the parameters of the linear simultaneous equations model with vector autoregressive disturbances. The Cramer-Rao lower bound for the covariance matrix of a consistent estimator of the parameter...
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| Veröffentlicht in: | Journal of econometrics 1998-07, Vol.85 (1), p.51-74 |
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| container_title | Journal of econometrics |
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| creator | Turkington, Darrell A. |
| description | This paper obtains the score vector, the information matrix and the asymptotic Cramer-Rao lower bound for the parameters of the linear simultaneous equations model with vector autoregressive disturbances. The Cramer-Rao lower bound for the covariance matrix of a consistent estimator of the parameters of primary interest is obtained for the case where the autoregressive coefficients are known and for the case where these coefficients are unknown, thus enabling us to demonstrate how the lack of knowledge of the autoregressive coefficients increases the bound. These lower bounds are used then to evaluate the asymptotic efficiency of various estimators proposed in the literature. |
| doi_str_mv | 10.1016/S0304-4076(97)00094-8 |
| format | Article |
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| ispartof | Journal of econometrics, 1998-07, Vol.85 (1), p.51-74 |
| issn | 0304-4076 1872-6895 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38609279 |
| source | RePEc; ScienceDirect Freedom Collection (Elsevier) |
| subjects | Asymptotic efficiency Econometrics Estimation Exact sciences and technology Linear models Mathematical models Mathematics Multivariate analysis Nonparametric inference Probability and statistics Regression analysis Sciences and techniques of general use Statistics Studies Vector autoregressive disturbances |
| title | Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances |
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