The bias of the ordinary least squares estimator in simultaneous equation models

Economics Letters

Volumn 53, Issue 2, 1996, Pages 161-167

  Kiviet, Jan F ^a   Phillips, Garry D A ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b UNIVERSITY OF EXETER   (United Kingdom)

Author keywords

Bias approximation; Large sample asymptotics; Ordinary least squares estimation; Small disturbance asymptotics; Static simultaneous equation model

Indexed keywords

EID: 0030273857     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(96)00908-1     Document Type: Article

References (6)

1. Fujikoshi, Y., K. Morimune, N. Kunimoto and M. Taniguchi, 1982, Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system, Journal of Econometrics 18, 192-205.
2. Kadane, J.B., 1971, Comparison of k-class estimators when the disturbances are small, Econometrica 39, 712-737.
3. Kiviet, J.F. and G.D.A. Phillips, 1993, Alternative bias approximations in regressions with a lagged dependent variable, Econometric Theory 9, 62-80.
4. Mikhail, W.M., 1972, The bias of the two stage least squares estimator, Journal of the American Statistical Association 67, 625-627.
5. Nagar, A.L., 1959, The bias and moment matrix of the general k-class estimators of the parameters in simultaneous equations, Econometrica 27, 575-595.
6. Sawa, T., 1973, Almost unbiased estimator in simultaneous equation systems, International Economic Review 14, 97-106.