Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model
Little is known about the small sample distributions of t-ratios of estimates of coefficients of dynamic simultaneous equation models. This paper investigates the Edgeworth and Nagar approximate distributions of the t-ratios of 2SLS estimates of an artificial two-equation dynamic model. The approximations are compared with probabilities estimated by a Monte Carlo experiment. The results show that the Edgeworth and Nagar approximations are better than the asymptotic normal.
Communications in Statistics: Simulation and Computation
Taylor and Francis
TSE, Yiu Kuen.
Edgeworth Approximations for T-Ratios of 2sls Estimates of a Dynamic Model. (1984). Communications in Statistics: Simulation and Computation. 13, (5), 603-618. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/301