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The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
Authors:Hailong Qian   Peter Schmidt
Affiliation: a Econometrics Group, Wellington, New Zealandb Department of Economics, Michigan State University, Easy Lansing, MI, 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
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