ABSTRACTIn this paper a Monte Carlo sampling study consisting of four experiments is described. Two error distributions were employed, the normal and the Laplace; and two small sample sizes (20 and 40) were tested. The question of simultaneous‐equation bias called for two‐stage estimators. TheL1, norm was employed as a means of comparing the performance of theL1or least squares estimators. A relatively new algorithm for computing the direct least absolute (DLA) and two‐stage least absolute (TSLA) estimators was employed for the experiments. The results confirmed the hypotheses that for non‐normal error distributions such as the Laplace the least absolute estimators were