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Journal Article

An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models

R. L. Basmann, D. H. Richardson and R. J. Rohr
Econometrica
Vol. 42, No. 4 (Jul., 1974), pp. 717-730
Published by: The Econometric Society
DOI: 10.2307/1913940
Stable URL: http://www.jstor.org/stable/1913940
Page Count: 14
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models
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Abstract

This paper presents the results of sampling experiments that were designed to test the conjecture that under certain conditions the exact distribution functions of estimators and test statistics in a simultaneous equations model are not affected by the presence of lagged endogenous variables. The experimental data support the conjecture in almost every case.

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