Eine Bemerkung zur reduzierten Form rekursiver Modelle / Note on the Reduced Form of Recursive Models

Schneeweiß Hans
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Schneeweiß Hans: Seminar für Ökonometrie und Statistik der Universität München, Akademiestraße 1/1, D-80799 München

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1996, vol. 215, issue 5, 586-597

Abstract: The reduced form of an econometric model is important for forecasting purposes. It can be estimated by two different ways: either directly by LS or indirectly by efficiently estimating the structural model and then solving for the endogenous variables. The second estimator is asymptotically superior to the first one. If the structural model is a recursive model, this superiority does not only hold asymptotically, but also for small samples. For this result, which has already been proved by Kozák and, more generally, by Schneeweiß, a new, more intuitive, proof is given. Reference is made to an example by Gollnick.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:215:y:1996:i:5:p:586-597:n:1007

DOI: 10.1515/jbnst-1996-0507

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