The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator

Hailong Qian and Peter Schmidt

Econometric Reviews, 1997, vol. 16, issue 4, 441-457

Abstract: In this paper we show that the 3SLS estimator of a system of equations is asymptotically equivalent to an iterative 2SLS estimator applied to each equation, augmented with the residuals from the other equations. This result is a natural extension of Telser (1964).

Keywords: 2SLS(IV) estimators; Improved 2SLS(IV) estimators; Iterated improved 2SLS(IV) estimators; 3SLS estimators (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1080/07474939708800398

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