Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case
It is shown that the finite sample quasi-FIML restricted reduced form coefficient estimators exist to the order that the system reduced form errors possess moments and that the quasi-FIML structural coefficient estimators possess no moments. Other related results are presented. A number of ‘unsolved...
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| Veröffentlicht in: | Journal of econometrics 1998-03, Vol.83 (1), p.239-262 |
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| container_title | Journal of econometrics |
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| creator | McCarthy, Michael D |
| description | It is shown that the finite sample quasi-FIML restricted reduced form coefficient estimators exist to the order that the system reduced form errors possess moments and that the quasi-FIML structural coefficient estimators possess no moments. Other related results are presented. A number of ‘unsolved problems’ cited in Koopmans et al. (1950) are discussed. The model studied focuses on the original Cowles Commission linear in the variables and parameters case. It is noted that some of the results reported can be generalized to the nonlinear in the variables-linear in the parameters case. |
| doi_str_mv | 10.1016/S0304-4076(97)00071-7 |
| format | Article |
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It is noted that some of the results reported can be generalized to the nonlinear in the variables-linear in the parameters case.</description><subject>Coefficients</subject><subject>Econometrics</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Estimating techniques</subject><subject>Estimation</subject><subject>Multivariate analysis</subject><subject>Quasi-FIML estimator</subject><subject>Reduced form</subject><subject>Regression analysis</subject><subject>Samples</subject><subject>Simultaneous equations</subject><subject>Studies</subject><issn>0304-4076</issn><issn>1872-6895</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1998</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkE1r3DAQhkVpodu0P6FgemlzcKIPWx-9lBKybWBDDk3PgyKPiYJtOZIdyL_v7G7JoZcKZkZonhlevYx9FPxMcKHPf3HFm7rhRn9x5pRzbkRtXrGNsEbW2rr2Ndu8IG_Zu1IeCGobqzYMtnGKC1bFj_OA1ZhGnJZSZSzrQLVPuVrusXpcfYn19up6V2FZ4ugXaqT-0MvYrQG7PTt-rW7pZYgT-lwFX_A9e9P7oeCHv_WE_d5e3l78rHc3P64uvu_q0DTtUneqc4EkGq1si73S3GDvnFFO3nnFvRTIlQte3jW-dVoZL1rTaxcsKrTYqRP2-bh3zulxJY0wxhJwGPyEaS1glSOvrBFEfvqHfEhrnkgcCKe1NEZpgtojFHIqJWMPc6Zf52cQHPamw8F02DsKzsDBdDA0tzvOZZwxvAwhnZCmNMITKG8VpWcK4ZylEvdXkJRnCqkcSC3hfhlp3bfjOiTrniJmKCHiRG7HjGGBLsX_CPoD0zyhug</recordid><startdate>19980301</startdate><enddate>19980301</enddate><creator>McCarthy, Michael D</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19980301</creationdate><title>Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case</title><author>McCarthy, Michael D</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c445t-d3d9c30476385ef3607ef997392ba30a21e039ca2b4a59637a157f69c8e3e8ed3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1998</creationdate><topic>Coefficients</topic><topic>Econometrics</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Estimating techniques</topic><topic>Estimation</topic><topic>Multivariate analysis</topic><topic>Quasi-FIML estimator</topic><topic>Reduced form</topic><topic>Regression analysis</topic><topic>Samples</topic><topic>Simultaneous equations</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>McCarthy, Michael D</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of econometrics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>McCarthy, Michael D</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case</atitle><jtitle>Journal of econometrics</jtitle><date>1998-03-01</date><risdate>1998</risdate><volume>83</volume><issue>1</issue><spage>239</spage><epage>262</epage><pages>239-262</pages><issn>0304-4076</issn><eissn>1872-6895</eissn><coden>JECMB6</coden><abstract>It is shown that the finite sample quasi-FIML restricted reduced form coefficient estimators exist to the order that the system reduced form errors possess moments and that the quasi-FIML structural coefficient estimators possess no moments. 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| ispartof | Journal of econometrics, 1998-03, Vol.83 (1), p.239-262 |
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| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Coefficients Econometrics Economic models Economic theory Estimating techniques Estimation Multivariate analysis Quasi-FIML estimator Reduced form Regression analysis Samples Simultaneous equations Studies |
| title | Finite sample moments results for the quasi-FIML estimator of the reduced form: The linear case |
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