迭代改进的2SLS估计量与3SLS估计量之间的渐近等价性

The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator

Econometric Reviews · 1997
被引 3
人大 A-ABS 3

中文导读

证明,对方程组进行3SLS估计,等价于对每个方程做迭代2SLS估计并加入其他方程的残差,这一结果扩展了Telser(1964)的结论。

Abstract

In this paper we show that the 3SLS estimator of a system of equations is asymptotically equivalent to an iterative 2SLS estimator applied to each equation, augmented with the residuals from the other equations. This result is a natural extension of Telser (1964).

迭代改进2SLS估计量SLS估计量渐近等价联立方程系统