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^*

^*Corresponding author for this work

University of Sydney

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

Original language	English
Pages (from-to)	157-180
Number of pages	24
Journal	Journal of Econometrics
Volume	60
Issue number	1-2
DOIs	https://doi.org/10.1016/0304-4076(94)90042-6
Publication status	Published - 31 Jan 1994
Externally published	Yes

Keywords

Leading case
Right-hand-side endogenous variables
Structural equation
Structural variance estimator

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10.1016/0304-4076(94)90042-6

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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.

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KW - Right-hand-side endogenous variables

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KW - Structural variance estimator

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ER -

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

Abstract

Keywords

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