A UNIFIED APPROACH TO ASYMPTOTIC EQUIVALENCE OF AITKEN AND FEASIBLE AITKEN INSTRUMENTAL VARIABLES ESTIMATORS

Authors
MANDY DM MARTINSFILHO C
Citation
Dm. Mandy et C. Martinsfilho, A UNIFIED APPROACH TO ASYMPTOTIC EQUIVALENCE OF AITKEN AND FEASIBLE AITKEN INSTRUMENTAL VARIABLES ESTIMATORS, International economic review, 35(4), 1994, pp. 957-979
Citations number
46
Categorie Soggetti
Economics
Journal title
International economic review → ACNP
ISSN journal
00206598
Volume
35
Issue
4
Year of publication
1994
Pages
957 - 979
Database
ISI
SICI code
0020-6598(1994)35:4<957:AUATAE>2.0.ZU;2-S
Abstract
Asymptotic equivalence of Aitken and feasible Aitken estimators in lin ear models with nonscalar identity error covariance matrices is usuall y established in a tedious case-by-case manner. Some general sufficien t conditions for this equivalence exist, but there are problems with t he extant conditions. These problems are discussed, and new widely app licable sufficient conditions are presented and applied to a variety o f error structures.