The Distribution of Estimators / Die Verteilung von Schätzern

Fleischer Karlheinz
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Fleischer Karlheinz: Institut für Empirische Wirtschaftsforschung, Universität Leipzig, Marschnerstr. 31, D-04109 Leipzig

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, vol. 217, issue 4, 449-466

Abstract: One problem in statistics is to determine the distributions of estimators and statistics. For distributions of the continuous type the density function of an estimator can at each point be expressed as a multiple integral, but the standard methods for computing integrals are not appropriate for calculating multiple integrals. In this paper a simulation procedure is proposed to evaluate these multiple integrals. The simulation results can be made more precise by using a smoothing method afterwards. Examples are given to demonstrate the effectiveness of this procedure which can be applied to compare various estimators and to find statistics (and their distributions) that can be used to construct confidence intervals for unknown parameters.

Keywords: Estimator; distribution; Monte Carlo Simulation; multiple integrals; Schätzer; Verteilung; Monte Carlo Simulation; multiple Integration (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:217:y:1998:i:4:p:449-466

DOI: 10.1515/jbnst-1998-0405

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