Nonstandard Distributions in Two-Stage Least Squares.

Abstract

In estimating the coefficient of an endogenous variable in a single equation of a system of linear equations, Anderson and Sawa (1973) expressed the distribution of the two-stage least-squares (TSLS) estimator as a doubly noncentral F distribution. We relax their assumption of independent Gaussian errors, taking instead a scale mixture of spherical Gaussian laws in a class containing the spherical stable distributions. The resulting distribution of the TSLS estimator is a mixture of doubly noncentral F distributions mixed over the noncentrality parameters, and for suitable mixtures the normal-theory distribution is robust. Computations reported for contaminated spherical Gaussian and spherical Cauchy errors are compared with the standard case. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1981
Accession Number
ADA100773

Entities

People

  • D. R. Jensen
  • Mark Marcucci

Organizations

  • Virginia Tech

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computations
  • Data Science
  • Distribution Functions
  • Distribution Theory
  • Equations
  • Estimators
  • Gaussian Processes
  • Information Science
  • Mixing
  • Mixtures
  • Normal Distribution
  • Probability
  • Simultaneous Equations
  • Standards
  • Statistical Algorithms
  • Statistical Distributions

Fields of Study

  • Mathematics

Readers

  • Regression Analysis.
  • Statistical inference.