Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems
Autor(a) principal: | |
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Data de Publicação: | 1998 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/699 |
Resumo: | This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator to be asymptotic ally equivalent to an optimal G LS IV estimator. Then we specialize to stationary dynamic systems with stationary VAR errors, and use the sufficient conditions to derive new moment conditions for these models. These moment conditions produce useful IVs from the lagged endogenous variables, despite the correlation between errors and endogenous variables. This use of the information contained in the lagged endogenous variables expands the class of IV estimators under consideration and there by potentially improves both asymptotic and small-sample efficiency of the optimal IV estimator in the class. Some Monte Carlo experiments compare the new methods with those of Hatanaka [1976]. For the DG P used in the Monte Carlo experiments, asymptotic efficiency is strictly improved by the new IVs, and experimental small-sample efficiency is improved as well. |
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Martins Filho, CarlosMandy, David M.Escolas::EPGEFGV2008-05-13T15:30:50Z2010-09-23T18:58:40Z2008-05-13T15:30:50Z2010-09-23T18:58:40Z1998-08-010104-8910http://hdl.handle.net/10438/699This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator to be asymptotic ally equivalent to an optimal G LS IV estimator. Then we specialize to stationary dynamic systems with stationary VAR errors, and use the sufficient conditions to derive new moment conditions for these models. These moment conditions produce useful IVs from the lagged endogenous variables, despite the correlation between errors and endogenous variables. This use of the information contained in the lagged endogenous variables expands the class of IV estimators under consideration and there by potentially improves both asymptotic and small-sample efficiency of the optimal IV estimator in the class. Some Monte Carlo experiments compare the new methods with those of Hatanaka [1976]. For the DG P used in the Monte Carlo experiments, asymptotic efficiency is strictly improved by the new IVs, and experimental small-sample efficiency is improved as well.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;333Dynamic modelsIV estimationVAR errorsEconomiaEconomiaModelos matemáticosTeoria da estimativaProcesso estocásticoOptimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systemsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1189.pdf.jpg1189.pdf.jpgGenerated Thumbnailimage/jpeg4381https://repositorio.fgv.br/bitstreams/cf5a28ef-932e-4896-8b94-12529e390c97/downloadd7f54a898fa0d7b27638ffbf7c18e00eMD58ORIGINAL1189.pdfapplication/pdf431052https://repositorio.fgv.br/bitstreams/4a51aa6d-9e21-4c42-b9a4-b10b9ffe5436/downloadfd3ad495812408bc792f8349893927e0MD52TEXT1189.pdf.txt1189.pdf.txtExtracted texttext/plain46889https://repositorio.fgv.br/bitstreams/1110b5c8-fdd8-4dae-a500-1defaddd24ad/download34cc37cdde0d2e7a9c26e40726edc389MD5710438/6992023-11-09 02:00:50.825open.accessoai:repositorio.fgv.br:10438/699https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T02:00:50Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
title |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
spellingShingle |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems Martins Filho, Carlos Dynamic models IV estimation VAR errors Economia Economia Modelos matemáticos Teoria da estimativa Processo estocástico |
title_short |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
title_full |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
title_fullStr |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
title_full_unstemmed |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
title_sort |
Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems |
author |
Martins Filho, Carlos |
author_facet |
Martins Filho, Carlos Mandy, David M. |
author_role |
author |
author2 |
Mandy, David M. |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Martins Filho, Carlos Mandy, David M. |
dc.subject.por.fl_str_mv |
Dynamic models |
topic |
Dynamic models IV estimation VAR errors Economia Economia Modelos matemáticos Teoria da estimativa Processo estocástico |
dc.subject.eng.fl_str_mv |
IV estimation VAR errors |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia Modelos matemáticos Teoria da estimativa Processo estocástico |
description |
This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator to be asymptotic ally equivalent to an optimal G LS IV estimator. Then we specialize to stationary dynamic systems with stationary VAR errors, and use the sufficient conditions to derive new moment conditions for these models. These moment conditions produce useful IVs from the lagged endogenous variables, despite the correlation between errors and endogenous variables. This use of the information contained in the lagged endogenous variables expands the class of IV estimators under consideration and there by potentially improves both asymptotic and small-sample efficiency of the optimal IV estimator in the class. Some Monte Carlo experiments compare the new methods with those of Hatanaka [1976]. For the DG P used in the Monte Carlo experiments, asymptotic efficiency is strictly improved by the new IVs, and experimental small-sample efficiency is improved as well. |
publishDate |
1998 |
dc.date.issued.fl_str_mv |
1998-08-01 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:30:50Z 2010-09-23T18:58:40Z |
dc.date.available.fl_str_mv |
2008-05-13T15:30:50Z 2010-09-23T18:58:40Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/699 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
identifier_str_mv |
0104-8910 |
url |
http://hdl.handle.net/10438/699 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;333 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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