MODIFIED 3-STAGE LEAST-SQUARES ESTIMATOR WHICH IS 3RD-ORDER EFFICIENT

Authors
MORIMUNE K SAKATA S
Citation
K. Morimune et S. Sakata, MODIFIED 3-STAGE LEAST-SQUARES ESTIMATOR WHICH IS 3RD-ORDER EFFICIENT, Journal of econometrics, 57(1-3), 1993, pp. 257-276
Citations number
12
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
57
Issue
1-3
Year of publication
1993
Pages
257 - 276
Database
ISI
SICI code
0304-4076(1993)57:1-3<257:M3LEWI>2.0.ZU;2-S
Abstract
A modified three-stage least squares (3SLS) estimator is proposed whic h shares the same asymptotic expansion of the distribution as the FIML estimator to terms of order O(1/T). Therefore, this modified 3SLS est imator is third-order efficient. This estimator includes a modified 2S LS estimator and a modified SUR estimator as specific cases.