The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
Author:
Affiliation:
1. a Departamento de Economia , Universidade de Evora , Evora , Portugal
2. b Department of Economics , North Carolina State University , Raleigh , North Carolina , USA
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474930500545488
Reference27 articles.
1. GMM, GEL, Serial Correlation, and Asymptotic Bias
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3. Andrews , D. W. K. ( 2000 ). Consistent moment selection procedures for GMM estimation: strong consistency and simulation results . Discussion paper, Cowles Foundation for Economics , Yale University , New Haven , CT .
4. Effects of skewness and kurtosis on model selection criteria
5. ARCH modeling in finance
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1. Estimation of Regression Coefficients in a Restricted Measurement Error Model Using Instrumental Variables;Communications in Statistics - Theory and Methods;2011-10
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