A saddlepoint approximation to the distribution of the k-class estimator of a coefficient in a simultaneous system

Details

Serval ID
serval:BIB_A9FE0F53EBCB
Type
Article: article from journal or magazin.
Collection
Publications
Title
A saddlepoint approximation to the distribution of the k-class estimator of a coefficient in a simultaneous system
Journal
Econometrica
Author(s)
Holly Alberto, Phillips P.C.B.
ISSN
0012-9682
Publication state
Published
Issued date
1979
Peer-reviewed
Oui
Volume
47
Number
6
Pages
1527-1547
Language
english
Abstract
A new approximation based on the saddlepoint method of approximating integrals is derived for the probability density of the k-class estimator in the case of the equation with two endogenous variables. The two tails of the density are approximated by different functions, each of which bears a close relationship with the exact density in the same region of the distribution. Corresponding approximations are also derived for the distribution function and the method of derivation should be useful in other applications. Some brief numerical results are reported which illustrate the performance of the new approximation.
Create date
06/10/2010 17:27
Last modification date
20/08/2019 15:14
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