Volume no :8, Issue no: 2, December (2012)

Journal of Statistics: Advances in Theory and Applications

M-ESTIMATION IN SIMULTANEOUS EQUATIONS MODEL (COMPARATIVE STUDY)

Author's: AHMED H. YOUSSEF, AHMED AMIN EI-SHEIKH and EMAN TAHA HASSAN MOHAMMED
Pages: [57] - [72]
Received Date: October 27, 2012
Submitted by:

Abstract

In this paper, two-stage M-estimation functions for estimating the parameters of simultaneous equations model will be introduced, when the errors term of the reduced form follows a heavy tail distribution. A Monte Carlo simulation study will be executed to compare among different two-stage M-estimation functions for different sample sizes.

Keywords

two-stage M-estimation, simultaneous equations model, two-stage least squares (2SLS)-Huber M-estimator, Tukey M-estimator-Insha Ullah M-estimator.