Affordable Access

Publisher Website

On a simultaneous equations pre-test estimator

Authors
Journal
Journal of Econometrics
0304-4076
Publisher
Elsevier
Publication Date
Volume
68
Issue
2
Identifiers
DOI: 10.1016/0304-4076(94)01638-g
Keywords
  • Pre-Test Estimator
  • Risk
  • Wu-Hausman Exogeneity Test
  • Two-Stage Least Squares

Abstract

Abstract This paper investigates the finite-sample properties of a pre-test estimator for the linear regression model when endogenous regressors render the ordinary least squares estimator inconsistent. A Wu-Hausman exogeneity test is applied to determine whether two-stage least squares is appropriate. Both analytic and nonparametric approximations to the pre-test risk and bias are discussed.

There are no comments yet on this publication. Be the first to share your thoughts.