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Patrik Guggenberger
 
''Monte-carlo evidence suggesting a no moment problem of the continuous updating estimator''
( 2005, Vol. 3 No.13 )
 
 
Monte Carlo evidence is provided that suggests that the continuous updating estimator might have a moment problem. In the linear simultaneous equation model, its performance in terms of sample median and standard deviation is virtually identical to the one of the limited information maximum likelihood estimator.
 
 
Keywords:
JEL: C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Dec 22 2004 Manuscript Accepted : Mar 10 2005

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