Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
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联立方程组中系数估计分布的渐近展开
DOI：
10.1016/0304-4076(82)90035-5
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发表时间：
1982
影响因子：
6.3
通讯作者：
M. Taniguchi
中科院分区：
文献类型：
--
作者：
Y. Fujikoshi;K. Morimune;N. Kunitomo;M. Taniguchi
本文导出了当样本容量增加和外生变量的影响沿着样本容量增加时，联立方程组系数的TSLS和LIML估计的密度函数的渐近展开式。这些近似值用于比较TSLS和LIML估计值的渐近矩以及估计值真实值周围的概率集中度。
In this paper asymptotic expansions are derived for the density functions of the TSLS and LIML estimates of coefficients in a simultaneous equation system when the sample size increases and the effect of the exogenous variables increases along the sample size. These approximations are used to compare the asymptotic moments of the TSLS and LIML estimates and the concentration of probability around the true value of the estimates.