Journal of Statistical and Econometric Methods

Two and Three Stage Least Squares as Aitken estimators

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• Abstract

   

  This note generalizes the existing derivation of Two and Three Stage Least Squares estimators as Aitken Generalised Least Squares estimators.

   

  JEL classification numbers: C01, C13, C30.

  Keywords: Two Stage Least Squares estimators, Three Stage Least Squares estimators, Generalized Least Squares estimators, Aitken estimators.