A recursive three-stage least squares method for large-scale systems of simultaneous equations
Sign Up to like & getrecommendations! Published in 2018 at "Linear Algebra and its Applications"
DOI: 10.1016/j.laa.2017.08.019
Abstract: A new numerical method is proposed that uses the QR decomposition (and its variants) to derive recursively the three-stage least squares (3SLS) estimator of large-scale simultaneous equations models (SEM). The 3SLS estimator is obtained sequentially,… read more here.
Keywords: large scale; stage least; three stage; least squares ... See more keywords
A Comparison of Regularized Maximum-Likelihood, Regularized 2-Stage Least Squares, and Maximum-Likelihood Estimation with Misspecified Models, Small Samples, and Weak Factor Structure
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DOI: 10.1080/00273171.2020.1753005
Abstract: Abstract Several structural equation modeling estimation methods have recently been developed to alleviate problems associated with model misspecification. Two of the more popular such approaches are 2-stage least squares and regularization methods. Prior work examining… read more here.
Keywords: stage least; estimation; small samples; least squares ... See more keywords
On a generalization of the test of endogeneity in a two stage least squares estimation
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DOI: 10.1080/02664763.2020.1837084
Abstract: In situations that the predictors are correlated with the error term, we propose a bridge estimator in the two-stage least squares estimation. We apply this estimator to overcome the multicollinear... read more here.
Keywords: stage least; least squares; two stage; generalization test ... See more keywords