1990 Fiscal Year Final Research Report Summary
Properties of Full Information Estimators
| Project/Area Number |
01530016
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
統計学
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| Research Institution | Kyoto University |
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Principal Investigator |
MORIMUNE Kimio Kyoto University, Institute of Economic Research, Professor, 経済研究所, 教授 (20109078)
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| Project Period (FY) |
1989 – 1990
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| Keywords | Econometrics / Full Information Method / Three Stage Least Squares / Asymptotic Expansion / Small Sample Analyses |
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| Research Abstract |
A modified 3SLS estimator is proposed which shares the same asymptotic expansion of the distribution as the FIML estimator to terms of order 0(1/T). Therefore, this modified 3SLS estimator is third order efficient. This estimator includes a modified 2SLS estimator and a modified SUR estimator as specific cases.
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