References
Brown, G. F., Jr. (1972). Structural estimation byk-class methods and reduced form forecasting, Doctoral dissertation, Carnegie-Mellon University.
Goldberger, A. S., Nagar, A. L. and Odeh, H. S. (1961). The covariance matrices of reduced form coefficients and of forecasts for a structural econometric model.Econometrica,29, 556–573.
Kadane, J. B. (1971). Comparison ofk-class estimators when the disturbances are small,Econometrica,39, 723–737.
Kadane, J. B. (1970). Testing overidentifying restrictions when the disturbances are small,J. Amer. Statist. Ass.,65, 182–185.
Nagar, A. L. and Gupta, Y. P. (1970). The moment matrix of the two-stage least squares estimator of coefficients in different equations of a complete system of simultaneous equations,Econometrica,38, 39–49.
Ramage, J. G. (1971). A perturbation study of thek-class estimators in the presence of specification error, Doctoral dissertation, Yale University.
Rao, C. R. (1965).Linear Statistical Inference and Its Applications, John Wiley and Sons, Inc., New York.
Theil, H. (1970).Economic Forecasts and Policy, North Holland Publishing Co., Amsterdam.
Author information
Authors and Affiliations
Additional information
The author thanks J. B. Kadane and J. G. Ramage for their valuable comments and suggestions on this paper.
About this article
Cite this article
Brown, G.F. The small-disturbance asymptotic moment matrix ofk-class estimates of parameters of different equations in a complete system of simultaneous linear equations. Ann Inst Stat Math 27, 463–472 (1975). https://doi.org/10.1007/BF02504663
Received:
Revised:
Issue Date:
DOI: https://doi.org/10.1007/BF02504663