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1975•RePEc: Research Papers in EconomicsRequires access

The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model

J. S. Mehta, P. A. V. B. Swamy

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Abstract

Abstract In this paper a simple modification of the usual k-class estimators has been suggested so that for 0 ≦ k ≦ 1 the problem of the non-existence of moments disappears. These modified estimators can be interpreted either as Bayes estimators or as constrained estimators subject to the restriction that the squared length of the coefficient vector is less than or equal to a given number.

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What this paper is about

Abstract In this paper a simple modification of the usual k-class estimators has been suggested so that for 0 ≦ k ≦ 1 the problem of the non-existence of moments disappears. These modified estimators can be interpreted either as Bayes estimators or as constrained estimators subject to the restriction that the squared length of the coefficient vector is less than or equal to a given number.

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Available abstract

Abstract In this paper a simple modification of the usual k-class estimators has been suggested so that for 0 ≦ k ≦ 1 the problem of the non-existence of moments disappears. These modified estimators can be interpreted either as Bayes estimators or as constrained estimators subject to the restriction that the squared length of the coefficient vector is less than or equal to a given number.

Key concepts: Estimator, Mathematics, Simple (philosophy), Extremum estimator, Bayes' theorem, Applied mathematics, M-estimator, Class (philosophy)

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