A Unified Approach to Asymptotic Equivalence of Aitken and Feasible Aitken Instrumental Variables Estimators

DOI10.2307/2527005MaRDI QIDQ4320064zbMATH OpenOpenAlexFDO

Authors Carlos Martins-Filho, D. M. Mandy

Publication date 15 January 1995

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ca6fa254d0094ee989a4131c5eacb098d76435c9

zbMATH Keywords

Aitken estimatorsasymptotic equivalenceerror structureslinear modelsnonscalar identity error covariance matricessufficient conditions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(6)

• Nonparametric regression estimation with general parametric error covariance
• The Amiti-Weinstein estimator: an equivalence result
• Equality of OLS and Aitken estimators
• The asymptotic equivalence between the iterated improved 2sls estimator and the 3sls estimator
• OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS
• Rao's score test in spatial econometrics

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