Two-Stage Welsh's Trimmed Mean for the Simultaneous Equations Model |
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| Authors: | Lin-An Chen,Kuo-Yuan Liang,& Chwen-Chi Liu |
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| Affiliation: | National Chiao Tung University,;Shih Hsin University,;Feng Chia University |
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| Abstract: | This paper discusses the large sample theory of the two-stage Welsh's trimmed mean for the limited information simultaneous equations model. Besides having asymptotic normality, this trimmed mean, as the two-stage least squares estimator, is a generalized least squares estimator. It also acts as a robust Aitken estimator for the simultaneous equations model. Examples illustrate real data analysis and large sample inferences based on this trimmed mean. |
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| Keywords: | Aitken estimator generalized least squares estimator simultaneous equations model trimmed mean |
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