Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model / Kenneth D. West, David W. Wilcox.

Format:

Book

Author/Creator:

West, Kenneth D.

Contributor:

National Bureau of Economic Research.

Wilcox, David W.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0139.

NBER technical working paper series no. t0139

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1993.

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 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

Notes:

Print version record

July 1993.