The distributions of the LIML and TSLS estimates of the coefficient of an endogenous variable in a single equation can be approximated by asymptotic expansions. This paper relates the expansions in terms of the noncentrality parameter and the sample size going to infinity, the noncentrality parameter going to infinity with the sample size held fixed, and the standard deviation of the disturbance going to zero ("small-$\sigma$'s").
MLA
Anderson, T. W.. “Asymptotic Expansions of the Distributions of Estimates in Simultaneous Equations for Alternative Parameter Sequences.” Econometrica, vol. 45, .no 2, Econometric Society, 1977, pp. 509-518, https://www.jstor.org/stable/1911225
Chicago
Anderson, T. W.. “Asymptotic Expansions of the Distributions of Estimates in Simultaneous Equations for Alternative Parameter Sequences.” Econometrica, 45, .no 2, (Econometric Society: 1977), 509-518. https://www.jstor.org/stable/1911225
APA
Anderson, T. W. (1977). Asymptotic Expansions of the Distributions of Estimates in Simultaneous Equations for Alternative Parameter Sequences. Econometrica, 45(2), 509-518. https://www.jstor.org/stable/1911225
We are deeply saddened by the passing of Kate Ho, the John L. Weinberg Professor of Economics and Business Policy at Princeton University and a Fellow of the Econometric Society. Kate was a brilliant IO economist and scholar whose impact on the profession will resonate for many years to come.
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