A comparison of true and estimated asymptotic standard errors of amemia's Least squares estimator using extensions of Ladd's model with varying degrees of simultaneity and auto correlation. | [Sindh University Research Journal • 1987]

Author(s):

1. Noor Mustafa Shaikh: Mathematics Department, University of Sind, Jamshoro, Pakistan

2. Asif Ali G. Kazi: Mathematics Department, University of Sind, Jamshoro, Pakistan

Abstract:

The study aims at the Comparison of Estimated (EASE's) and True Asymptotic S.E's (TASE's) of estimates of structural parameters (ai's) of Ladd's model using Amemia's modified Sargan's Two Stage Least Squares estimator (MS2SLS). A formula for calculating TASE's is derived and application of MS2SLS is discussed in the context of a general 2- equation model with first order auto-correlation errors in the absence of lagged endogenous variables (En. Vs). The results of Six Monte Carlo experiments conducted for finding the relative effects of degrees of simultaneity and auto-correlation of TASE's and EASE's of ai's are also discussed.

Page(s): 59-69

DOI: DOI not available

Published: Journal: Sindh University Research Journal, Volume: 19, Issue: 2, Year: 1987

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