Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (Q579812)
From MaRDI portal
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)
0 references
1986
0 references
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.
0 references
serial correlation
0 references
recursive instrumental variable algorithm
0 references
simultaneous equation model
0 references
autoregressive error terms
0 references
asymptotically efficient estimation
0 references
structural parameters
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
