Exact densities for variance estimators of the structural disturbances in simultaneous equations models

Murray D. Smith

doi:10.1016/0304-4076(94)90042-6

Exact densities for variance estimators of the structural disturbances in simultaneous equations models

Murray D. Smith^*

^*Awdur cyfatebol y gwaith hwn

University of Sydney

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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The conditional distribution theory which enables the derivation of exact finite sample results for the density of many variance estimators of the structural disturbances in a simultaneous equations model is presented. The theory is then used to derive exact density and moment formulae when the equation contains an arbitrary number of endogenous variables. Bounds upon the existence of estimators moments are also given.

Iaith wreiddiol	Saesneg
Tudalennau (o-i)	157-180
Nifer y tudalennau	24
Cyfnodolyn	Journal of Econometrics
Cyfrol	60
Rhif cyhoeddi	1-2
Dynodwyr Gwrthrych Digidol (DOIs)	https://doi.org/10.1016/0304-4076(94)90042-6
Statws	Cyhoeddwyd - 31 Ion 1994
Cyhoeddwyd yn allanol	Ie

Mynediad at Ddogfen

10.1016/0304-4076(94)90042-6

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Dolen barhaus

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title = "Exact densities for variance estimators of the structural disturbances in simultaneous equations models",

abstract = "The conditional distribution theory which enables the derivation of exact finite sample results for the density of many variance estimators of the structural disturbances in a simultaneous equations model is presented. The theory is then used to derive exact density and moment formulae when the equation contains an arbitrary number of endogenous variables. Bounds upon the existence of estimators moments are also given.",

keywords = "Leading case, Right-hand-side endogenous variables, Structural equation, Structural variance estimator",

author = "Smith, {Murray D.}",

year = "1994",

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doi = "10.1016/0304-4076(94)90042-6",

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T1 - Exact densities for variance estimators of the structural disturbances in simultaneous equations models

AU - Smith, Murray D.

PY - 1994/1/31

Y1 - 1994/1/31

N2 - The conditional distribution theory which enables the derivation of exact finite sample results for the density of many variance estimators of the structural disturbances in a simultaneous equations model is presented. The theory is then used to derive exact density and moment formulae when the equation contains an arbitrary number of endogenous variables. Bounds upon the existence of estimators moments are also given.

AB - The conditional distribution theory which enables the derivation of exact finite sample results for the density of many variance estimators of the structural disturbances in a simultaneous equations model is presented. The theory is then used to derive exact density and moment formulae when the equation contains an arbitrary number of endogenous variables. Bounds upon the existence of estimators moments are also given.

KW - Leading case

KW - Right-hand-side endogenous variables

KW - Structural equation

KW - Structural variance estimator

UR - http://www.scopus.com/inward/record.url?scp=38149143507&partnerID=8YFLogxK

U2 - 10.1016/0304-4076(94)90042-6

DO - 10.1016/0304-4076(94)90042-6

M3 - Article

AN - SCOPUS:38149143507

SN - 0304-4076

VL - 60

SP - 157

EP - 180

JO - Journal of Econometrics

JF - Journal of Econometrics

IS - 1-2

ER -

Exact densities for variance estimators of the structural disturbances in simultaneous equations models

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