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Abstract or Table of Contents
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.