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The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
Ingmar R. Prucha
Harry H. Kelejian
Abstract
A general linear simultaneous equation system with a multivariate Student t disturbance vector is considered. The normal equations of the corresponding maximum likelihood estimator are used as estimator generating equations to introduce a new class of estimators. Properties of large subclasses of these estimators are determined for disturbance vectors other than the multivariate Student t.
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