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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Main Author:	Mariano, Roberto S.
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 1973
Subjects:	Econometrics
Online Access:	https://ink.library.smu.edu.sg/soe_research/56
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.soe_research-10552010-09-23T05:48:03Z Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables Mariano, Roberto S. 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/Î¼, where Î¼ 2 is what is referred to in the literature as the concentration parameter. 1973-01-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/56 info:doi/10.2307/1913884 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Econometrics
spellingShingle	Econometrics Mariano, Roberto S. Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
description	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/Î¼, where Î¼ 2 is what is referred to in the literature as the concentration parameter.
format	text
author	Mariano, Roberto S.
author_facet	Mariano, Roberto S.
author_sort	Mariano, Roberto S.
title	Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
title_short	Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
title_full	Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
title_fullStr	Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
title_full_unstemmed	Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables
title_sort	approximations to the distribution functions of the ordinary least squares and two-stage least squares estimators in the case of two included endogenous variables
publisher	Institutional Knowledge at Singapore Management University
publishDate	1973
url	https://ink.library.smu.edu.sg/soe_research/56
_version_	1770568998222561280

Approximations to the Distribution Functions of the Ordinary Least Squares and Two-Stage Least Squares Estimators in the Case of Two Included Endogenous Variables

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