Non-Normal Errors and the Distribution of OLS and 2SLS Structural Estimators

John Knight

Econometric Theory, 1986, vol. 2, issue 1, 75-106

Abstract: This paper examines the sensitivity of the distributions of OLS and 2SLS estimators to the assumption of normality of disturbances in a structural equation with two included endogenous variables. The approach taken is that ofimposing Edgeworth distributed errors on the reduced form equations and deriving the pdf of the estimators via the technique of Davis [11]. The sensitivity of the pdf s to changes in the non-normality parameters, i.e., skewness and kurtosis i s examined via extensive numerical computations.

Date: 1986
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:2:y:1986:i:01:p:75-106_01

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().