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两阶段最小二乘估计量一次迭代的渐近性质AI 解读

In this article we obtain the asymptotic distribution of the first iterate of iterated two stage least squares; we demonstrate that this distribution is different from that of the usual two stage least squares estimator. Moreover, we show that the difference in the covariance matrices of their respective asymptotic distributions is, generally, neither positive nor negative semidefinite. In particular, we produce examples in which for some parametric configurations this…

两阶段最小二乘首次迭代估计量的渐近性质AI 解读

In this article we obtain the asymptotic distribution of the first iterate of iterated two stage least squares; we demonstrate that this distribution is different from that of the usual two stage least squares estimator. Moreover, we show that the difference in the covariance matrices of their respective asymptotic distributions is, generally, neither positive nor negative semidefinite. In particular, we produce examples in which for some parametric configurations this…