Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
This paper deals with single-equation estimators in a simultaneous system of linear stochastic equations and approximates the distribution function of the two-stage least-squares estimators up to terms whose order of magnitude is $1/\sqrt{N}$, where N is the sample size. For fixed N, an approximatio...
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
1973
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| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/56 |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |
| الملخص: | This paper deals with single-equation estimators in a simultaneous system of linear stochastic equations and approximates the distribution function of the two-stage least-squares estimators up to terms whose order of magnitude is $1/\sqrt{N}$, where N is the sample size. For fixed N, an approximation to the OLS distribution function is also obtained up to terms whose order of magnitude 1/μ, where μ 2 is what is referred to in the literature as the concentration parameter. |
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