Econometrica: Jul 1974, Volume 42, Issue 4

An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models

https://doi.org/0012-9682(197407)42:4<717:AESOSE>2.0.CO;2-8
p. 717-730

D. H. Richardson, R. J. Rohr, R. L. Basmann

This paper presents the results of sampling experiments that were designed to test the conjecture that under certain conditions the exact distribution functions of estimators and test statistics in a simultaneous equations model are not affected by the presence of lagged endogenous variables. The experimental data support the conjecture in almost every case.

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