Preface
Published online by Cambridge University Press: 24 February 2010
Summary
The chapters in this volume are dedicated to Thomas Rothenberg in honor of his retirement from the Economics Department at the University of California, Berkeley. Tom Rothenberg has made fundamental contributions to econometric theory and has been an inspiring teacher, advisor, and colleague. Rothenberg's early work focused on efficient estimation and identification in simultaneous equations models. In a paper (written with C. T. Leenders) published in Econometrica while he was still a graduate student, Rothenberg established the asymptotic efficiency of the linearized maximum likelihood estimator for simultaneous equations models and thus the asymptotic efficiency of three-stage least squares. This line of research was summarized in his monograph Efficient Estimation with A Priori Information, where he laid out a unified theory of efficient estimation in simultaneous equations systems.
Because exact optimality results for estimators and tests in simultaneous equations models are generally unavailable, the notion of efficiency in Rothenberg's initial work typically is first-order asymptotic efficiency. Often, however, there are a number of estimators that are asymptotically equivalent to first order; k-class estimators in a single equation with multiple endogenous regressors is a leading example. In finite samples, these estimators have different behavior, but their finite-sample distributions can be either unavailable or so complicated that they fail to provide useful comparisons between the estimators. Thus, Rothenberg undertook to examine the differences between first-order equivalent estimators and tests by studying their higher-order properties using Edgeworth expansions. Much of this work is summarized in his masterful chapter in the 1984 Handbook of Econometrics, which remains a key reference for researchers interested in the deviations of the distributions of instrumental variables estimators from their first-order asymptotic distributions.
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- Identification and Inference for Econometric ModelsEssays in Honor of Thomas Rothenberg, pp. ix - xivPublisher: Cambridge University PressPrint publication year: 2005