Theory & Methods: Two-Stage Welsh's Trimmed Mean for the Simultaneous Equations Model

This paper discusses the large sample theory of the two‐stage Welsh’s trimmed mean for the limited information simultaneous equations model. Besides having asymptotic normality, this trimmed mean, as the two‐stage least squares estimator, is a generalized least squares estimator. It also acts as a r...

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Bibliographic Details
Published in:Australian & New Zealand journal of statistics 2001-12, Vol.43 (4), p.481-492
Main Authors: Chen, Lin-An, Liang, Kuo-Yuan, Liu, Chwen-Chi
Format: Article
Language:English
Subjects:
Aitken estimator
generalized least squares estimator
simultaneous equations model
trimmed mean
Online Access:Get full text
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Summary:This paper discusses the large sample theory of the two‐stage Welsh’s trimmed mean for the limited information simultaneous equations model. Besides having asymptotic normality, this trimmed mean, as the two‐stage least squares estimator, is a generalized least squares estimator. It also acts as a robust Aitken estimator for the simultaneous equations model. Examples illustrate real data analysis and large sample inferences based on this trimmed mean.
ISSN:1369-1473
1467-842X
DOI:10.1111/1467-842X.00196