The Exact Distribution of a Structural Coefficient Estimator
- 1 December 1968
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 63 (324) , 1214
- https://doi.org/10.2307/2285878
Abstract
The distribution studied is that of an estimator of a structural parameter appearing in a system of linear simultaneous equations. The relationship between the bias and the true parameter value is analysed and the bias is tabulated for selected values of the parameters of the distribution. It is also shown that the estimator possesses finite moments up to order v where v is the number of overidentifying restrictions and that the estimator converges to the true parameter value as one of the parameters of the distribution (not the sample size) increases indefinitely.Keywords
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