Econometrica: Jul 1973, Volume 41, Issue 4
Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions
T. W. Anderson, Takamitsu SawaThe limited information maximum likelihood and two-stage least squares estimates have the same asymptotic normal distribution; the ordinary least squares estimate has another asymptotic normal distribution. This paper considers more accurate approximations to the distributions of the so-called "k-class" estimates. An asymptotic expansion of the distribution of such an estimate is given in terms of an Edgeworth or Gram-Charlier series (of which the leading term is the normal distribution). The development also permits expression of the exact distribution in several forms. The distributions of the two-stage least squares and ordinary least squares estimates are transformed to doubly-noncentral F distributions. Numerical comparisons are made between the approximate distributions and exact distributions calculated by the second author.
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