We derive asymptotic expansions of the distributions of test statistics for over-identifying restrictions in a system of simultaneous equations under the null and the non-null hypotheses. We investigate the effects of the normality assumption for disturbances on the test statistics based on...

Comparisons of estimators are made on the basis of their mean squared errors and their concentrations of probability computed by means of asymptotic expansions of their distributions when the disturbance variance tends to zero and alternatively when the sample size increases indefinitely. The...