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Theory and Method

Asymptotic Expansions of the Distributions of Estimators in a Linear Functional Relationship and Simultaneous Equations

Pages 693-700 | Received 01 Aug 1977, Published online: 12 Mar 2012

References

  • Anderson , T. W. 1976 . “Estimation of Linear Functional Relationships: Approximate Distributions and Connections With Simultaneous Equations in Econometrics,” . Journal of the Royal Statistical Society , 38 : 1 – 31 . Ser. B
  • Anderson , T. W. , Kunitomo , Naoto and Sawa , Takamitsu . 1980 . “The Distribution of the Limited Information Maximum Likelihood Estimator Studied by Monte Carlo,” unpublished manuscript
  • Anderson , T. W. , Morimune , Kimio and Sawa , Takamitsu . 1978 . “The Numerical Values of Some Key Parameters in Econometric Models,” , Institute for Mathematical Studies in the Social Sciences, Stanford University . Technical Report No. 270
  • Anderson , T. W. and Sawa , Takamitsu . 1973 . “Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions,” . Econometrica , 41 : 688 – 714 .
  • Anderson , T. W. and Sawa , Takamitsu . 1975 . “Distribution of a Maximum Likelihood Estimate of a Slope Coefficient: The LIML Estimate for Known Covariance Matrix,” , Economics Series, Institute for Mathematical Studies in the Social Sciences, Stanford University . Technical Report No. 174
  • Anderson , T. W. and Sawa , Takamitsu . 1977 . “Tables of the Distributions of the Maximum Likelihood Estimate of the Slope Coefficient and Approximations,” , Economics Series, Institute for Mathematical Studies in the Social Sciences, Stanford University . Technical Report No. 234
  • Anderson , T. W. and Sawa , Takamitsu . 1979 . “Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate,” . Econometrica , 47 : 163 – 182 .
  • Kendall , Maurice G. and Stuart , Alan . 1973 . The Advanced Theory of Statistics , Vol. 2 , London : Charles W. Griffin and Co. .
  • Kunitomo , Naoto . 1979 . “The Asymptotic Optimality of the Limited Information Maximum Likelihood Estimator in Large Econometric Models,” unpublished manuscript
  • Morimune , Kimio and Kunitomo , Naoto . 1980 . “Improving the Maximum Likelihood Estimate in Linear Functional Relationships for Alternative Parameter Sequences,” . Journal of the American Statistical Association , 75 : 230 – 237 .
  • Patefield , W. M. 1976 . “On the Validity of Approximate Distributions Arising in Fitting a Linear Functional Relationship,” . The Journal of Statistical Computation and Simulation , 5 : 43 – 60 .

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