Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (Q579812): Difference between revisions
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A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters. | |||
| Property / review text: A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / zbMATH DE Number: 4015979 / rank | |||
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| Property / zbMATH Keywords | |||
serial correlation | |||
| Property / zbMATH Keywords: serial correlation / rank | |||
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| Property / zbMATH Keywords | |||
recursive instrumental variable algorithm | |||
| Property / zbMATH Keywords: recursive instrumental variable algorithm / rank | |||
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simultaneous equation model | |||
| Property / zbMATH Keywords: simultaneous equation model / rank | |||
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autoregressive error terms | |||
| Property / zbMATH Keywords: autoregressive error terms / rank | |||
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asymptotically efficient estimation | |||
| Property / zbMATH Keywords: asymptotically efficient estimation / rank | |||
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structural parameters | |||
| Property / zbMATH Keywords: structural parameters / rank | |||
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Revision as of 17:31, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances |
scientific article |
Statements
Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (English)
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1986
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A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters.
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serial correlation
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recursive instrumental variable algorithm
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simultaneous equation model
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autoregressive error terms
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asymptotically efficient estimation
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structural parameters
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