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

• 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
• Institution: Singapore Management University

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...