Asymptotic Properties of the Ordinary Least Squares Estimator in Simultaneous Equations Models

V. K. Srivastava and D. E. A. Giles

No 262926, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper considers the asymptotic behaviour of the ordinary least squares estimator of the coefficients of an equation from a simultaneous system. In particular, it focuses on the inconsistency of the estimator, in terms of large-sample asymptotic theory, and its consistency in terms of small-disturbance asymptotics.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 11
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:262926

DOI: 10.22004/ag.econ.262926

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