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Interpretation of Graphs that Compare the Distribution Functions of Estimators

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  • Moulton, Brent R.

Abstract

In this paper I examine graphical comparisons of one-dimensional (or marginal) distribution functions of alternative estimators. It is shown that areas under the c.d.f. (cumulative distribution function) curve can be given a decision-theoretic interpretation as risk under a bounded absolute-error loss function. I also show that by a simple rescaling of the graph's axes, graphical areas are created which can be interpreted as risk under bounded squared-error loss. The bounded loss functions are applied to compare graphically and numerically the risk of exact distributions of the limited-information maximum likelihood and two-stage least-squares estimators in a simultaneous equations model.

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  • Moulton, Brent R., 1990. "Interpretation of Graphs that Compare the Distribution Functions of Estimators," Econometric Theory, Cambridge University Press, vol. 6(1), pages 97-102, March.
    • Handle: RePEc:cup:etheor:v:6:y:1990:i:01:p:97-102_00
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    Cited by:

    1. Duch-Brown, Néstor & Costa-Campi, María Teresa, 2015. "The diffusion of patented oil and gas technology with environmental uses: A forward patent citation analysis," Energy Policy, Elsevier, vol. 83(C), pages 267-276.
    2. Manuel Acosta & Daniel Coronado & Rosario Marín & Pedro Prats, 2013. "Factors affecting the diffusion of patented military technology in the field of weapons and ammunition," Scientometrics, Springer;Akadémiai Kiadó, vol. 94(1), pages 1-22, January.
    3. Duch-Brown, Néstor & Costa-Campi, María Teresa, 2015. "The diffusion of patented oil and gas technology with environmental uses: A forward patent citation analysis," Energy Policy, Elsevier, vol. 83(C), pages 267-276.

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