TY - JOUR
AU - West,Kenneth D.
AU - Wilcox,David W.
TI - Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model
JF - National Bureau of Economic Research Technical Working Paper Series
VL - No. 139
PY - 1993
Y2 - July 1993
DO - 10.3386/t0139
UR - http://www.nber.org/papers/t0139
L1 - http://www.nber.org/papers/t0139.pdf
N1 - Author contact info:
Kenneth D. West
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI 53706
608/262-0033, 608/ 2015-08-03
Tel:
Fax:
E-Mail: kdwest@wisc.edu
David Wilcox
Federal Reserve Board
20th and Constitution Avenue, NW
Washington, DC 20551
Tel: 202/452-2991
Fax: 202/452-5296
E-Mail: david.wilcox@frb.gov
AB - 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
ER -