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The Stochastic Difference between Econometric Statistics

  • Robinson, Peter M

In a somewhat general context, the author calculate s the order in probability of the difference between consistent roots of rival estimating equations, with application to point estimates i n parametric and nonparametric models, interval estimates, and test s tatistics. Differences in the statistical performances of various com monly-used iterative procedures are detected. He discusses implicatio ns of his results for higher-order efficiency comparisons and for mat ching the first-order efficiency of an implicitly defined target stat istic in finitely-many iterative steps. He justifies estimates obtain ed via a search of the objective function. His results are applied to the linear-in-variables simultaneous equations system. Copyright 1988 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 56 (1988)
Issue (Month): 3 (May)
Pages: 531-48

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Handle: RePEc:ecm:emetrp:v:56:y:1988:i:3:p:531-48
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