Econometrica Vol. 39 No. 3 1971
The Use of Undersized Samples in the Estimation of Simultaneous Equation Systems
Abstract
[Using a general definition of a generalized inverse of a singular matrix we generalized the k class and three stage least squares procedures so that they can be applied when the sample size, say T, is smaller than the number of exogenous variables, say K, in a system of equations. These generalized k class and three stage least squares estimators, in usual cases, coincide with ordinary least squares and Zellner's [7] efficient estimators respectively as long as T @ extless K and coincide with the usual k class and three stage least squares estimators respectively as T exceeds K.]
- DOI
- 10.2307/1913259
- Volume
- 39
- Issue
- 3
- Pages
- 455
- Sources
- bibtex:phds-export.bib openalex crossref