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Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadtratic inventory model

Author: Kenneth D West; David W Wilcox; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 1993.
Series: NBER technical working paper series, no. 139.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We evaluate some aspects of the finite sample distribution of an instrumental variables estimator of a first order condition of the Holt et al. (1960) linear quadratic inventory model. We find that for some but not all empirically relevant data generating processes and sample sizes, asymptotic theory predicts a wide dispersion of parameter estimates, with a substantial finite sample probability of estimates with  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Kenneth D West; David W Wilcox; National Bureau of Economic Research.
OCLC Number: 71823400
Notes: "July 1993."
Description: 1 online resource (23, [12] pages).
Series Title: NBER technical working paper series, no. 139.
Responsibility: Kenneth D. West, David W. Wilcox.

Abstract:

We evaluate some aspects of the finite sample distribution of an instrumental variables estimator of a first order condition of the Holt et al. (1960) linear quadratic inventory model. We find that for some but not all empirically relevant data generating processes and sample sizes, asymptotic theory predicts a wide dispersion of parameter estimates, with a substantial finite sample probability of estimates with incorrect signs. For such data generating processes, simulation evidence suggests that different choices of left hand side variables often produce parameter estimates of an opposite sign. More generally, while the asymptotic theory often provides a good approximation to the finite sample distribution, sometimes it does not.

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