The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 1972, Volume 40, Issue 4
https://doi.org/0012-9682(197207)40:4<653:FPOTKE>2.0.CO;2-5
p. 653-680
Takamitsu Sawa
This paper is concerned with the so-called k-class estimators of structural parameters in a simultaneous system. The structural equation being estimated is assumed, as is common in other small-sample investigations, to consist of two endogenous variables; and the number of the exogenous variables (included or excluded) as well as the number of equations in the system are arbitrary so long as the identifiability condition of the estimated equation is satisfied. Moreover, we assume that the system contains no lagged endogenous variables and disturbance terms of each period are independently distributed as multivariate normal. The exact finite-sample moments of the k-class estimators are evaluated for 0 @< k < 1. For k > 1 it is proved that the estimator does not possess even the first-order moment. The exact moment functions are expanded in terms of the inverse of the noncentrality (or concentration) parameter. This expansion sheds more light on the comparative study of alternative k-class estimators. Numerical calculations of the mean square error and the bias for some specific cases are also given for illustrative purposes.
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.
