Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 1971, Volume 39, Issue 3

The Use of Undersized Samples in the Estimation of Simultaneous Equation Systems<455:TUOUSI>2.0.CO;2-V
p. 455-459

James Holmes, P. A. V. B. Swamy

Using a general definition of a generalized inverse of a singular matrix we generalized the k class and three stage least squares procedures so that they can be applied when the sample size, say T, is smaller than the number of exogenous variables, say K, in a system of equations. These generalized k class and three stage least squares estimators, in usual cases, coincide with ordinary least squares and Zellner's [7] efficient estimators respectively as long as T @< K and coincide with the usual k class and three stage least squares estimators respectively as T exceeds K.

Log In To View Full Content