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Comparing Single-Equation Estimators in a Simultaneous Equation System

Listed author(s):
  • Anderson, T. W.
  • Kunitomo, Naoto
  • Morimune, Kimio
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    Comparisons of estimators are made on the basis of their mean squared errors and their concentrations of probability computed by means of asymptotic expansions of their distributions when the disturbance variance tends to zero and alternatively when the sample size increases indefinitely. The estimators include k -class estimators (limited information maximum likelihood, two-stage least squares, and ordinary least squares) and linear combinations of them as well as modifications of the limited information maximum likelihood estimator and several Bayes' estimators. Many inequalities between the asymptotic mean squared errors and concentrations of probability are given. Among medianunbiasedestimators, the limited information maximum likelihood estimator dominates the median-unbiased fixed k -class estimator.

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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 2 (1986)
    Issue (Month): 01 (April)
    Pages: 1-32

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    Handle: RePEc:cup:etheor:v:2:y:1986:i:01:p:1-32_01
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    Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK

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