The comparative performance of the iterative instrumental variables estimator using structural and predictive criteria

M. Dutta, P. D. Loeb, V. Kerry Smith

Research output: Contribution to journalArticle

Abstract

The purpose of this paper is to give experimental evidence on the small-sample properties of the iterative instrumental variables estimator originally proposed by Lyttkens [1970], relative to the more conventional methods including ordinary least squares, limited information single equation maximum likelihood and three stage least squares.

Original languageEnglish (US)
Pages (from-to)43-51
Number of pages9
JournalEmpirical Economics
Volume4
Issue number1
DOIs
StatePublished - Mar 1 1979

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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