Seminari Applied

Dandan Wang

Cardiff University


Seminar 3 – 14:30


The small sample bias of the 2SLS coefficient estimator for general dynamic simultaneous equation models with innovation errors, lagged-dependent and strongly-exogenous explanatory variables is approximated through large sample asymptotic. Results for the reduced form and structural form of general DSEM are obtained. Structural form large-T approximations bias are then used to construct corrected estimators for the parameters of interest in high order DSEM. Alternatively, the numerical bootstrap method results suggest that the non-parametric bootstrap could be used in 2SLS for improving estimation. Some simulation results are present for the Quenouille jackknife and the bootstrap.

Baixar pdf
Leave Comment

Your email address will not be published. Required fields are marked *

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>

clear formSubmit

This site uses Akismet to reduce spam. Learn how your comment data is processed.