Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators
研究了在结构方程中扰动项非正态时，OLS和2SLS估计量分布对偏度和峰度参数的敏感性，通过数值计算展示分布的变化。
This paper examines the sensitivity of the distributions of OLS and 2SLS estimators to the assumption of normality of disturbances in a structural equation with two included endogenous variables. The approach taken is that ofimposing Edgeworth distributed errors on the reduced form equations and deriving the pdf of the estimators via the technique of Davis [11]. The sensitivity of the pdf s to changes in the non-normality parameters, i.e., skewness and kurtosis i s examined via extensive numerical computations.