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Econometrics Special || Small-Sample Properties of ARCH Estimators and Tests

โœ Scribed by Robert F. Engle, David F. Hendry and David Trumble


Book ID
125000382
Publisher
John Wiley and Sons
Year
1985
Tongue
English
Weight
589 KB
Volume
18
Category
Article
ISSN
0008-4085

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Small sample properties of LIML and jack
โœ Sรถren Blomquist; Matz Dahlberg ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 184 KB ๐Ÿ‘ 3 views

Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We ยฎnd that the new estimators and LIML have a smaller bias but a larger variance than the TSLS. In terms of root mean square erro