Date of Original Version

9-1971

Type

Article

Rights Management

http://www.econometricsociety.org/abstract.asp?ref=0012-9682&vid=39&iid=5&aid=0012-9682%28197109%2939%3A5%26lt%3B723%3ACOKEWT%26gt%3B2.0.CO%3B2-1

Abstract or Description

A new approach to the choice ofeconometric estimators, called small-sigma asymptotics, is introduced and applied to the choice of k-class estimators of the parameters of a single equation in a system of linear simultaneous stochastic equations. I find that when the degree of over-identification is no more than six, the two stage least squares estimator uniformly dominates the limited information maximum likelihood estimator in a certain sense. The small sigma method can be used on many problems in statistics and econometrics.

Comments

Econometrica, Vol. 39, No. 5 (Sep., 1971), pp. 723-737

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