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Prediction after IV estimation

Author

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  • Skeels, Christopher L.
  • Taylor, Larry W.

Abstract

In the context of a single equation in a system of simultaneous equations there is evidently some confusion in the literature as to the correct approach to the problem of prediction. Here we explore this problem and compare three different approaches to it. We also relate this discussion to current practice.

Suggested Citation

  • Skeels, Christopher L. & Taylor, Larry W., 2014. "Prediction after IV estimation," Economics Letters, Elsevier, vol. 122(3), pages 420-422.
    • Handle: RePEc:eee:ecolet:v:122:y:2014:i:3:p:420-422
    DOI: 10.1016/j.econlet.2014.01.003
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    References listed on IDEAS

    as
    1. Skeels, Christopher L. & Taylor, Larry W., 1995. "On a simultaneous equations pre-test estimator," Journal of Econometrics, Elsevier, vol. 68(2), pages 269-286, August.
    2. M. Hashem Pesaran & Larry W. Taylor, 1999. "Diagnostics for IV Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 255-281, May.
    3. Jan F. Kiviet, 2013. "Identification and inference in a simultaneous equation under alternative information sets and sampling schemes," Econometrics Journal, Royal Economic Society, vol. 16(1), pages 24-59, February.
    4. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    5. repec:bla:obuest:v:61:y:1999:i:2:p:255-81 is not listed on IDEAS
    6. Kinal, Terrence W. & Knight, John L., 1994. "Some Exact Distribution Results for the Partially Restricted Reduced form Estimator," Econometric Theory, Cambridge University Press, vol. 10(1), pages 140-171, March.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Launhardt, Patrick & Miebs, Felix, 2020. "Aggregate implied cost of capital, option-implied information and equity premium predictability," Finance Research Letters, Elsevier, vol. 35(C).

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    More about this item

    Keywords

    Prediction; IV estimation; Structural equation;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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