Econometrica: Jan 1970, Volume 38, Issue 1

The Moment Matrix of the Two-Stage Least-Squares Estimator of Coefficients in Different Equations of a Complete System of Simultaneous Equations

https://doi.org/0012-9682(197001)38:1<39:TMMOTT>2.0.CO;2-1
p. 39-49

A. L. Nagar, Y. P. Gupta

In this article we analyze the moment matrix, to order 1/T^2(T being the number of observations), of the two-stage least-squares estimators of coefficients in two different equations which are part of a complete set of structural equations.

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