The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1960, Volume 28, Issue 3
https://doi.org/0012-9682(196007)28:3<573:AMCSOA>2.0.CO;2-6
p. 573-590
A. L. Nagar
We study the small sample properties of the simultaneous equation estimators by a Monte Carlo approach. The four methods of estimation considered are: least squares, two-stage least squares, unbiased and minimum-second-moment. The last of these four methods possesses the smallest second order sampling moments about the true parameter value in a majority of cases, while two-stage least squares shows the smallest bias in all cases. It is also found that the usual asymptotic standard errors of two-stage least squares give a rather satisfactory picture of the variability of the estimates about the true value. This is not true for the least squares method in all cases considered. Instead, it seems that the classical least squares standard errors measure the variability of the estimates about the biased expectation, not about the true value. In some cases this makes a very large difference.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
