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A Simulation Study of Effects of Multicollinearity and Autocorrelation on Estimates of Parameters

Published online by Cambridge University Press:  19 October 2009

William A. Schink  and
John S. Y. Chiu
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Extract

In attempting to analytically discover or test economic relationships, econometricians have available many computational techniques by which to estimate the parameters of their models. But different solution methods may give unbiased and consistent, biased and consistent, or biased and inconsistent estimates under varying assumptions. The model builder is vitally interested in how each of these procedures reacts under varying conditions that may impinge on his model, but which are conditions not assumed by the estimation technique.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 1 , Issue 2 , June 1966 , pp. 36 - 67
Copyright
Copyright © School of Business Administration, University of Washington 1966

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References

1 Johnston, J., Econometric Methods (New York: McGraw-Hill Book Company, Inc., 1963), p. 275.Google Scholar

2 Ibid., pp. 275–77.

3 Ibid., pp. 276–77.

4 Ibid., p. 277

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11 Ibid., p. 297–99

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13 The two autoregressive series were developed independently of each other and any intercorrelation between the two series, U1 and U2, is purely accidental and not by design.

14 SirFisher, Ronald A., The Design of Experiments (London: Oliver and Boyd, 1960), pp. 95–100.Google ScholarPubMed

15 Summers, Robert, “A Capital Intensive Approach to the Small Sample Properties of Various Simultaneous Equation Estimators,” Econametrica, Vol. XXXIII (January 1965), pp. 1–47.Google Scholar

16 Ibid, p. 25.