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.
|Number of pages||24|
|Journal||Journal of Econometrics|
|Publication status||Published - 31 Jan 1994|
- Leading case
- Right-hand-side endogenous variables
- Structural equation
- Structural variance estimator