Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

DOI10.2307/1911032MaRDI QIDQ3806653zbMATH OpenOpenAlexFDO

Authors Whitney Newey, William E. Taylor, Jerry Hausman

Publication date 1987

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1721.1/63493

zbMATH Keywords

asymptotically efficient estimatorcovariance restrictionsestimated residualsestimation of simultaneous equations modelsFIML estimationidentificationinstrument-residual orthogonalityinstrumental variableslinearized equationsmoment restrictionsthree- stage least squares

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

Recommendations

• Simultaneous equations with covariance restrictions
• On the efficient estimation of simultaneous equations with covariance restrictions
• scientific article; zbMATH DE number 3874460
• On Identification with Covariance Restrictions: A Correction and an Extension
• FIML estimation of models with multiple regimes and covariance restrictions

Cited in

(16)

• Identification of linear stochastic models with covariance restrictions
• Generalized method of moments specification testing
• Simultaneous equations and panel data
• Efficient estimation of panel data models with strictly exogenous explanatory variables
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Limited information estimation and testing subject to linear constraints
• Panel structural modeling with weak instrumentation and covariance restrictions
• scientific article; zbMATH DE number 3874460 (Why is no real title available?)
• Structural inference of the parameters of the heteroscedastic simultaneous equation model
• On Identification with Covariance Restrictions: A Correction and an Extension
• Method‐of‐moment view of linear simultaneous equation systems
• FIML estimation of models with multiple regimes and covariance restrictions
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• On the efficient estimation of simultaneous equations with covariance restrictions
• Three-stage least squares with different instruments for different equations
• Simultaneous equations with covariance restrictions

This page was built for publication: Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3806653)