The Stochastic Difference Between Econometric Statistics

In a somewhat general context, the author calculate s the order in probability of the difference between consistent roots of rival estimating equations, with application to point estimates i n parametric and nonparametric models, interval estimates, and test s tatistics. Differences in the statistical performances of various com monly-used iterative procedures are detected. He discusses implicatio ns of his results for higher-order efficiency comparisons and for mat ching the first-order efficiency of an implicitly defined target stat istic in finitely-many iterative steps. He justifies estimates obtain ed via a search of the objective function. His results are applied to the linear-in-variables simultaneous equations system. Copyright 1988 by The Econometric Society.