Econometrica: Jul 1973, Volume 41, Issue 4

Approximations to the Distribution Functions of Theil's k-Class Estimators

https://doi.org/0012-9682(197307)41:4<715:ATTDFO>2.0.CO;2-L
p. 715-721

Roberto S. Mariano

For fixed sample size N, the distribution functions of the k-class estimators (k nonstochastic) are approximated up to terms whose order of magnitude is 1/@u,where @u^2 is what is referred to in the literature as the concentration parameter. Similar results are also given for the double k-class estimators.
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