Econometrica: Jul 1973, Volume 41, Issue 4
Approximations to the Distribution Functions of Theil's k-Class Estimators
Roberto S. MarianoFor 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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