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The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator |
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| Authors: | Hailong Qian Peter Schmidt |
| Institution: | 1. Econometrics Group , P.O.Box 600, Wellington, New Zealand;2. Department of Economics , Michigan State University , Easy Lansing, MI, 48824, USA |
| Abstract: | In this paper we show that the 3SLS estimator of a system of equations is asymptotically equivalent to an iterative 2SLS estimator applied to each equation, augmented with the residuals from the other equations. This result is a natural extension of Telser (1964). |
| Keywords: | 2SLS(IV) estimators Improved 2SLS(IV) estimators Iterated improved 2SLS(IV) estimators 3SLS estimators |