Jf. Kiviet et Gda. Phillips, THE BIAS OF THE ORDINARY LEAST-SQUARES ESTIMATOR IN SIMULTANEOUS EQUATION MODELS, Economics letters, 53(2), 1996, pp. 161-167
In static simultaneous equation models the large -T and small -sigma m
oment approximations for consistent k-class estimators are essentially
equivalent, but for the inconsistent ordinary least squares (OLS) est
imator the approximations are markedly different. This is illustrated
by comparing the small -sigma and large -T bias approximations.