On the Sensitivity of Simultaneous-Equations Estimators to the Stochastic Assumptions of the Models
联立方程估计量对模型随机假设的敏感性
The paper reports the results of several sampling experiments investigating the sensitivity of various simultaneous-equations estimators to errors in the exogenous variables, stochastic coefficients, heteroskedastic disturbances and auto correlated disturbances. The estimates studied are direct least squares, two-stage least squares, Nagar's unbiased k-class estimator, limited-information maximum likelihood, three-stage least squares, and full-information maximum likelihood.…