Abstract
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.
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