An Improved Two-Stage Estimator of Simultaneous Equations Models

Qingli Pan

doi:https://doi.org/10.14445/22315373/IJMTT-V65I1P509

International Journal of Mathematics Trends and Technology

Research Article | Open Access | Download PDF

Volume 65 | Issue 1 | Year 2019 | Article Id. IJMTT-V65I1P509 | DOI : https://doi.org/10.14445/22315373/IJMTT-V65I1P509

An Improved Two-Stage Estimator of Simultaneous Equations Models

Qingli Pan

Abstract

For an over-identified simultaneous equation model with multiple co-linearity, this paper proposes a twostage k-d type Liu estimate method to estimate such models. Moreover, the properties of the new estimate are verified by the Monte Carlo experiment. Compared with two-stage least square estimate, two-stage Liu estimate, and two-stage ridge estimate, the new estimate performs quite well. The standard deviations of the new estimate are rather small and its practicality is stronger than others.

Keywords

Two-stage k-d type Liu estimate, Two-stage least square estimate, Two-stage Liu estimate, Twostage ridge estimate.

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Citation :

Qingli Pan, "An Improved Two-Stage Estimator of Simultaneous Equations Models," International Journal of Mathematics Trends and Technology (IJMTT), vol. 65, no. 1, pp. 53-56, 2019. Crossref, https://doi.org/10.14445/22315373/IJMTT-V65I1P509