Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables

DOI10.2307/1905293MaRDI QIDQ3265200zbMATH OpenOpenAlexFDO

Authors Teun Kloek, L. B. M. Mennes

Publication date 1960

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1905293

zbMATH Keywords

statistics

Cited in

(11)

• The prejudices of least squares, principal components and common factors schemes
• A comparison of estimators for undersized samples
• Optimal instruments when the disturbances are small
• Some small-sample properties of instrumental-variables estimators of block triangular models
• Factor-GMM estimation with large sets of possibly weak instruments
• Instrumental variables estimation with many weak instruments using regularized JIVE
• INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
• Principal components in econometrics
• Dummy endogenous treatment effect estimation using high‐dimensional instrumental variables
• New Bayesian approach to the estimation in simultaneous equations model
• The classical principles of testing using instrumental variables estimates

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