Econometrica Vol. 52 No. 3 1984
The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
Abstract
A general linear simultaneous equation system with a multivariate Student t disturbance vector is considered. The normal equations of the corresponding maximum likelihood estimator are used as estimator generating equations to introduce a new class of estimators. Properties of large subclasses of these estimators are determined for disturbance vectors other than the multivariate Student t.
- DOI
- 10.2307/1913473
- Volume
- 52
- Issue
- 3
- Pages
- 721
- Sources
- bibtex:phds-export.bib crossref openalex