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ALTERNATIVE SIGNIFICANCE TESTS FOR 2SLS ESTIMATED PARAMETERS: SOME FURTHER MONTE CARLO EVIDENCE AND COMMENT
Author(s) -
Kymn Kern O.
Publication year - 1978
Publication title -
metroeconomica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.256
H-Index - 29
eISSN - 1467-999X
pISSN - 0026-1386
DOI - 10.1111/j.1467-999x.1978.tb00591.x
Subject(s) - monte carlo method , estimator , variance (accounting) , statistics , sample (material) , mathematics , econometrics , a priori and a posteriori , economics , physics , philosophy , accounting , epistemology , thermodynamics
Following Green's study (Metroeconomica, Vol. XXV, 1973) the performance of finite sample approximations of the variance estimators in the test statistics for 2SLS estimated coefficients has been investigated by a Monte Carlo siudy. A priori the variances should be positive. The Monte Carlo experiments produced evidence that a large number of finite sample approximations of the computed variances were negative . The evidence indicates that the usefulness of the usual finite sample approximations formula for variance estimators in the 2SLS test statistics is severely limited.