The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: May, 1984, Volume 52, Issue 3
https://doi.org/0012-9682(198405)52:3<721:TSOSEE>2.0.CO;2-X
p. 721-736
Harry H. Kelejian, Ingmar R. Prucha
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.
