Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system

Yasunori Fujikoshi, Kimio Morimune, Naoto Kunitomo, Masanobu Taniguchi

Research output: Contribution to journalArticle

18 Citations (Scopus)

Abstract

In this paper asymptotic expansions are derived for the density functions of the TSLS and LIML estimates of coefficients in a simultaneous equation system when the sample size increases and the effect of the exogenous variables increases along the sample size. These approximations are used to compare the asymptotic moments of the TSLS and LIML estimates and the concentration of probability around the true value of the estimates.

Original languageEnglish
Pages (from-to)191-205
Number of pages15
JournalJournal of Econometrics
Volume18
Issue number2
DOIs
Publication statusPublished - 1982 Feb

ASJC Scopus subject areas

  • Economics and Econometrics

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