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Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables
This paper deals with single-equation estimators in a simultaneous system of linear stochastic equations and approximates the distribution function of the two-stage least-squares estimators up to terms whose order of magnitude is 1/@?N, where N is the sample size. For fixed N, an approximation to the OLS distribution function is also obtained up to terms whose order of magnitude 1/@m, where @m2 is what is referred to in the literature as the concentration parameter.
MLA
Mariano, Roberto S.. “Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables.” Econometrica, vol. 41, .no 1, Econometric Society, 1973, pp. 67-77, https://www.jstor.org/stable/1913884
Chicago
Mariano, Roberto S.. “Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables.” Econometrica, 41, .no 1, (Econometric Society: 1973), 67-77. https://www.jstor.org/stable/1913884
APA
Mariano, R. S. (1973). Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables. Econometrica, 41(1), 67-77. https://www.jstor.org/stable/1913884
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