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Effect of Nonnormality on the Estimation of a Single Structural Equation with Structural Change

Published online by Cambridge University Press:  18 October 2010

Jiro Hodoshima
Jiro Hodoshima
Affiliation:
Nanzan University
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Abstract

Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality assumption of structural variances is retained. Under nonnormality the limited information maximum likelihood estimator is consistent but may not be efficient relative to the Barten and Bronsard's estimator. A sufficient condition is given under which the limited information maximum likelihood estimator dominates the Barten and Bronsard's estimator in terms of the asymptotic covariance matrix. The minimum distance estimator dominates other estimators.

Type
Articles
Information
Econometric Theory , Volume 5 , Issue 1 , April 1989 , pp. 53 - 62
Copyright
Copyright © Cambridge University Press 1989

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References

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