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

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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 - Dec 1 2005

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)

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