The comparative performance of the iterative instrumental variables estimator using structural and predictive criteria |
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| Authors: | M Dutta P D Loeb V Kerry Smith |
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| Institution: | 1. Bureau of Economic Research, Rutgers University, Winants Hall, 105 Queens, 08903, New Brunswick, N.J.
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| Abstract: | The purpose of this paper is to give experimental evidence on the small-sample properties of the iterative instrumental variables estimator originally proposed byLyttkens 1970], relative to the more conventional methods including ordinary least squares, limited information single equation maximum likelihood and three stage least squares. |
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