Effect of Nonnormality on the Estimation of a Single Structural Equation with Structural Change
非正态性对含结构变化的单一结构方程估计的影响
Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality…