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Econometrica
Article . 1983 . Peer-reviewed
Data sources: Crossref
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The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators

The asymptotic normality of two-stage least absolute deviations estimators
Authors: Powell, James L;

The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators

Abstract

In a recent paper \textit{T. Amemiya} [ibid. 50, 689-711 (1982; Zbl 0493.62098)] introduced a class of estimators, termed two-stage least absolute deviations (2SLAD) estimators, for the parameters of a structural equation in a simultaneous equations model; the estimators are defined to minimize a sum of absolute values of residual terms which depend upon preliminary (''first-stage'') estimates of reduced form parameters. However, asymptotic normality of the 2SLAD estimators was proved only for normally-distributed error terms, for which more efficient estimation methods (such as 2SLS) would be preferred. In this study asymptotic normality of the proposed estimators is demonstrated for more general distributions of the error terms, thereby strengthening the conclusions to be drawn from Amemiya's efficiency comparisons. In addition, expressions for the large-sample covariance matrices are given which are somewhat simpler than those in Amemiya's paper. Finally, an asymptotic equivalence proposition is shown for the sub-class of ''double'' two-stage least absolute deviations estimators; this result is analogous to the finite sample equivalence of \textit{H. Theil's} interpretation of 2SLS [Repeated least squares applied to complete equation systems, Mimeo, Central Planning Bureau, The Hague (1953)] and its instrumental variables interpretation.

Keywords

large-sample covariance matrices, Asymptotic distribution theory in statistics, asymptotic normality, asymptotic equivalence proposition, two-stage least absolute deviations estimators, Applications of statistics to economics, simultaneous equations model

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
75
Top 10%
Top 1%
Average
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