Modified three-stage least squares estimator which is third-order efficient

DOI10.1016/0304-4076(93)90067-FzbMath0769.62046MaRDI QIDQ1801420

Shinichi Sakata, Kimio Morimune

Publication date: 30 August 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionfull information maximum likelihood estimatormodified 2SLS estimatormodified SUR estimatormodified three-stage least squares estimatormodified two-stage least squares estimatorthird-order efficiency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Cites Work

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• Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations
• The Stochastic Difference Between Econometric Statistics
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Third-Order Efficiency of the Extended Maximum Likelihood Estimators in a Simultaneous Equation System
• A Comparative Monte Carlo Study of the Properties of Econometric Estimators
• An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
• Some Properties of a Modification of the Limited Information Estimator

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