Basmann [3] has recently given the exact sampling distributions of the generalized classical linear (GCL) estimators of the parameters of a system of two simultaneous structural equations. In view of the importance of the GCL estimators in econometric statistics, a less intricate derivation by using formulae that might be more widely known to statisticians and econometricians, might be useful.
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D. G. Kabe (1963) studied this question.
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