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The Structure of Simultaneous Equation Estimators: A Generalization towards Nonnormal Disturbances

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  • Prucha, Ingmar R
  • Kelejian, Harry H

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  • Prucha, Ingmar R & Kelejian, Harry H, 1984. "The Structure of Simultaneous Equation Estimators: A Generalization towards Nonnormal Disturbances," Econometrica, Econometric Society, vol. 52(3), pages 721-736, May.
  • Handle: RePEc:ecm:emetrp:v:52:y:1984:i:3:p:721-36
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    Cited by:

    1. Ignacio Mauleon & Javier Perote, 2000. "Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Student's t," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 225-239.
    2. Mauleon, Ignacio, 2003. "Financial densities in emerging markets: an application of the multivariate ES density," Emerging Markets Review, Elsevier, vol. 4(2), pages 197-223, June.
    3. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
    4. Sakata, Shinichi, 2007. "Instrumental variable estimation based on conditional median restriction," Journal of Econometrics, Elsevier, vol. 141(2), pages 350-382, December.
    5. Yohai, VĂ­ctor J. & Maronna, Ricardo A., 1994. "Robust estimation in simultaneous equations models," DES - Working Papers. Statistics and Econometrics. WS 3956, Universidad Carlos III de Madrid. Departamento de EstadĂ­stica.
    6. Akio Namba & Kazuhiro Ohtani, 2007. "Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion," Statistical Papers, Springer, vol. 48(1), pages 151-162, January.

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