Monte-Carlo evidence suggesting a no moment problem of the continuous updating estimator

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7 Citations (Scopus)

Abstract

Monte Carlo evidence is provided that suggests that the continuous updating estimator might have a moment problem. In the linear simultaneous equation model, its performance in terms of sample median and standard deviation is virtually identical to the one of the limited information maximum likelihood estimator.

Original languageEnglish (US)
JournalEconomics Bulletin
Volume3
Issue number1
StatePublished - 2005

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Median
Limited information
Estimator
Maximum likelihood estimator
Standard deviation
Simultaneous equations model

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)

Cite this

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title = "Monte-Carlo evidence suggesting a no moment problem of the continuous updating estimator",
abstract = "Monte Carlo evidence is provided that suggests that the continuous updating estimator might have a moment problem. In the linear simultaneous equation model, its performance in terms of sample median and standard deviation is virtually identical to the one of the limited information maximum likelihood estimator.",
author = "Patrik Guggenberger",
year = "2005",
language = "English (US)",
volume = "3",
journal = "Economics Bulletin",
issn = "1545-2921",
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