Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model

Kenneth West () and David Wilcox

No 139, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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

JEL-codes: C32 E22 (search for similar items in EconPapers)
Date: 1993-07
Note: EFG
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Citations: View citations in EconPapers (11)

Published as Inventory Cycles and Monetary Policy, ed. Ricardo Fiorito, Springer-Verlagforthcoming 1994

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Working Paper: Some evidence on finite sample behavior of an instrumental variables estimator of the linear quadratic inventory model (1993)
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