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, 1984, Volume 52, Issue 3

The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances<721:TSOSEE>2.0.CO;2-X
p. 721-736

Harry H. Kelejian, Ingmar R. Prucha

A general linear simultaneous equation system with a multivariate Student t disturbance vector is considered. The normal equations of the corresponding maximum likelihood estimator are used as estimator generating equations to introduce a new class of estimators. Properties of large subclasses of these estimators are determined for disturbance vectors other than the multivariate Student t.

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