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- Title
On Asymptotic Theory and Finite Sample Experiments.
- Authors
Hendry, D. F.
- Abstract
One of the main purposes of this review article is to indicate how valuable asymptotic theory can be in clarifying simulation work by applying it to their findings on the magnitudes and directions of the "biases" observed in Ordinary Least Squares estimates for their system of simultaneous equations with autocorrelated errors. This has a pedagogic aim, as the framework provided by the infinite sample case not only elucidates the implications of their results and corrects some misleading arguments, but establishes formulae of sufficient generality to reduce the force of the qualification that "... it is somewhat dangerous to extrapolate changes on the basis of the limited evidence presented" (p. 201). As this is a rather general issue, it is analysed in Section II below.
- Subjects
ASYMPTOTIC theory in econometrics; LEAST squares; MATHEMATICAL statistics; AUTOREGRESSION (Statistics); EXTRAPOLATION; ECONOMICS
- Publication
Economica, 1973, Vol 40, Issue 158, p210
- ISSN
0013-0427
- Publication type
Article
- DOI
10.2307/2551783