Econometrica: Nov 1973, Volume 41, Issue 6

Systems k-Class Estimators

https://doi.org/0012-9682(197311)41:6<1125:SKE>2.0.CO;2-N
p. 1125-1136

N. E. Savin

In this paper we generalize the family of single equation k-class estimators to systems of equations. The systems k-class estimator with k = 1 is the 3SLS estimator. After developing the asymptotic properties we introduce a further member of the systems k-class, the systems LVR estimator. A systems version of Basmann's identifiability test statistic is also considered.

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