A general linear simultaneous equation system with a multivariate Student t disturbance vector is considered. The normal equations of the corresponding maximum likelihood estimator are used as estimator generating equations to introduce a new class of estimators. Properties of large subclasses of these estimators are determined for disturbance vectors other than the multivariate Student t.
MLA
Kelejian, Harry H., and Ingmar R. Prucha. “The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances.” Econometrica, vol. 52, .no 3, Econometric Society, 1984, pp. 721-736, https://www.jstor.org/stable/1913473
Chicago
Kelejian, Harry H., and Ingmar R. Prucha. “The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances.” Econometrica, 52, .no 3, (Econometric Society: 1984), 721-736. https://www.jstor.org/stable/1913473
APA
Kelejian, H. H., & Prucha, I. R. (1984). The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances. Econometrica, 52(3), 721-736. https://www.jstor.org/stable/1913473
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