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Theory & Methods: Two‐Stage Welsh’s Trimmed Mean for the Simultaneous Equations Model
Author(s) -
Chen LinAn,
Liang KuoYuan,
Liu ChwenChi
Publication year - 2001
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00196
Subject(s) - mathematics , least trimmed squares , truncated mean , estimator , least squares function approximation , statistics , trimmed estimator , asymptotic distribution , generalized least squares , consistent estimator , minimum variance unbiased estimator
This paper discusses the large sample theory of the two‐stage Welsh’s trimmed mean for the limited information simultaneous equations model. Besides having asymptotic normality, this trimmed mean, as the two‐stage least squares estimator, is a generalized least squares estimator. It also acts as a robust Aitken estimator for the simultaneous equations model. Examples illustrate real data analysis and large sample inferences based on this trimmed mean.