Finite sample properties of the partially restricted reduced form estimator

The paper considers the exact density of a linear function of the PRRF estimator under the same set of assumptions as in Nagar and Sahay (l978). We obtain the general expression for the exact moments of such a linear function, which can be used to obtain expressions for moments of arbitrary order. U...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autor principal:	Hassan Arvin-Rad
Formato:	article
Lenguaje:	EN PT
Publicado:	Universidade de São Paulo 1998
Materias:	partially restricted reduced form estimator exact density exact moments mean squared prediction error fractional calculus Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/f9f3ef245d21488bab3a5c18d0e624a8
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:f9f3ef245d21488bab3a5c18d0e624a8
record_format	dspace
spelling	oai:doaj.org-article:f9f3ef245d21488bab3a5c18d0e624a82021-11-24T16:08:24ZFinite sample properties of the partially restricted reduced form estimator0101-41611980-5357https://doaj.org/article/f9f3ef245d21488bab3a5c18d0e624a81998-06-01T00:00:00Zhttps://www.revistas.usp.br/ee/article/view/117057https://doaj.org/toc/0101-4161https://doaj.org/toc/1980-5357The paper considers the exact density of a linear function of the PRRF estimator under the same set of assumptions as in Nagar and Sahay (l978). We obtain the general expression for the exact moments of such a linear function, which can be used to obtain expressions for moments of arbitrary order. Using this result the explicit formulae for the first four integer moments are given. We will then extend the results to the case where the matrix of exogenous variables is only assumed to have full column rank, and the covariance matrix of the endogenous variables has to be only positive definite. The analytical tool used to work out these results is the technique of fractional calculus first applied to econometrics by Phillips (l984). Hassan Arvin-RadUniversidade de São Pauloarticlepartially restricted reduced form estimatorexact densityexact momentsmean squared prediction errorfractional calculusEconomics as a scienceHB71-74ENPTEstudos Econômicos, Vol 28, Iss 2 (1998)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	partially restricted reduced form estimator exact density exact moments mean squared prediction error fractional calculus Economics as a science HB71-74
spellingShingle	partially restricted reduced form estimator exact density exact moments mean squared prediction error fractional calculus Economics as a science HB71-74 Hassan Arvin-Rad Finite sample properties of the partially restricted reduced form estimator
description	The paper considers the exact density of a linear function of the PRRF estimator under the same set of assumptions as in Nagar and Sahay (l978). We obtain the general expression for the exact moments of such a linear function, which can be used to obtain expressions for moments of arbitrary order. Using this result the explicit formulae for the first four integer moments are given. We will then extend the results to the case where the matrix of exogenous variables is only assumed to have full column rank, and the covariance matrix of the endogenous variables has to be only positive definite. The analytical tool used to work out these results is the technique of fractional calculus first applied to econometrics by Phillips (l984).
format	article
author	Hassan Arvin-Rad
author_facet	Hassan Arvin-Rad
author_sort	Hassan Arvin-Rad
title	Finite sample properties of the partially restricted reduced form estimator
title_short	Finite sample properties of the partially restricted reduced form estimator
title_full	Finite sample properties of the partially restricted reduced form estimator
title_fullStr	Finite sample properties of the partially restricted reduced form estimator
title_full_unstemmed	Finite sample properties of the partially restricted reduced form estimator
title_sort	finite sample properties of the partially restricted reduced form estimator
publisher	Universidade de São Paulo
publishDate	1998
url	https://doaj.org/article/f9f3ef245d21488bab3a5c18d0e624a8
work_keys_str_mv	AT hassanarvinrad finitesamplepropertiesofthepartiallyrestrictedreducedformestimator
_version_	1718414850573467648

Finite sample properties of the partially restricted reduced form estimator

Ejemplares similares