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Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances

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  • Campos, Julia

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  • Campos, Julia, 1986. "Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances," Journal of Econometrics, Elsevier, vol. 32(3), pages 333-366, August.
    • Handle: RePEc:eee:econom:v:32:y:1986:i:3:p:333-366
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    Cited by:

    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
    2. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
    3. repec:ebl:ecbull:v:3:y:2002:i:23:p:1-10 is not listed on IDEAS
    4. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

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