A. Zellner, THE FINITE-SAMPLE PROPERTIES OF SIMULTANEOUS-EQUATIONS ESTIMATES AND ESTIMATORS BAYESIAN AND NON-BAYESIAN APPROACHES, Journal of econometrics, 83(1-2), 1998, pp. 185-212
Citations number
60
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematics, Miscellaneous","Mathematics, Miscellaneous
After discussing the need for good finite sample estimation procedures
for simultaneous equations models and showing the inadequacies of asy
mptotically justified estimators, it is shown how the Bayesian method
of moments (BMOM) provides an exact, finite sample analysis of unrestr
icted reduced form systems. Then optimal, finite sample estimates of s
tructural coefficients are derived using three standard loss functions
and they are compared to traditional Bayesian optimal estimates. Mont
e Carlo experimental evidence from four studies on the relative perfor
mance of Bayesian and non-Bayesian estimators is reviewed with the fin
ding that the performance of Bayesian estimators is better. (C) 1998 E
lsevier Science S.A.