Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors (Q580852)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors |
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Generalized least squares estimation of simultaneous equations model with first order autocorrelated errors (English)
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1986
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In this paper two generalized least squares estimators are derived for simultaneous equations models with first order autocorrelated errors. The first is a limited information estimator and the second is a full information estimator. Both are consistent and asymptotically efficient. Simple iterative procedures are suggested for computational purposes.
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Cochran-Orcutt type estimator
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generalized least squares estimators
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simultaneous equations models
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first order autocorrelated errors
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limited information estimator
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full information estimator
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consistent
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asymptotically efficient
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iterative procedures
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