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The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
Authors:
Hailong Qian a;
Peter Schmidt b
| Affiliations: | a Econometrics Group, Wellington, New Zealand |
| b Department of Economics, Michigan State University, Easy Lansing, MI, USA |
DOI:
10.1080/07474939708800398
Publication Frequency:
6 issues per year
Formats available:
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(English)
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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).
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| Keywords: 2SLS(IV) estimators; Improved 2SLS(IV) estimators; Iterated improved 2SLS(IV) estimators; 3SLS estimators |
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