A Monte Carlo Study of Small-Sample Properties of Simultaneous Equation Estimators with Normal and Nonnormal Disturbances
正态与非正态扰动下联立方程估计量的小样本蒙特卡洛比较
In this paper we consider four alternative forms of two-parameter normal and nonnormal error distributions and report on a Monte Carlo study of the small-sample properties of least squares, two-stage least squares, three-stage least squares and full information maximum likelihood estimators. On the basis of 1,000 replications of sample size 20 in two experiments on an overidentified model, we found that the small-sample rankings of econometric estimators of both structural…