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Simultaneous equation estimation from undersized samples

Author

Listed:
  • Fiebig, Denzil G.
  • Kidwai, Sartaj A.
  • Theil, Henri

Abstract

In simultaneous equation theory a sample is said to be undersized when it is smaller than the number of exogenous variables. The sample moment matrix of these variables is then singular, but equations can nevertheless be estimated when different moments (hybrid moments based on the Theil-Laitinen maximum entropy distribution) are used. Here we evaluate the adequacy of the asymptotic standard errors formulated in terms of such moments.

Suggested Citation

  • Fiebig, Denzil G. & Kidwai, Sartaj A. & Theil, Henri, 1983. "Simultaneous equation estimation from undersized samples," Statistics & Probability Letters, Elsevier, vol. 1(5), pages 229-232, August.
    • Handle: RePEc:eee:stapro:v:1:y:1983:i:5:p:229-232
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