Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components

DOI10.2307/2526597zbMATH Open0582.62096OpenAlexW1992793077MaRDI QIDQ3704789FDOQ3704789

Authors: Ingmar R. Prucha 

Publication date: 1985

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526597

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zbMATH Keywords

asymptotic normalityconsistencypanel dataefficiencyerror componentslinear simultaneous equationsfull information maximum likelihood estimatorinstrumental variables representation

Mathematics Subject Classification ID

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

Cited In (12)

• Multivariate longitudinal modeling of insurance company expenses
• A computational algorithm for multiple equation models with panel data
• Estimation of simultaneous equation models with error components structure
• Two reduced-form approaches to the derivation of the maximum-likelihood estimators for simultaneous-equation systems
• Simultaneous equations and panel data
• Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances
• Estimation of SEM with GARCH errors
• Panel data models with spatially correlated error components
• Simultaneous error components models when panel data are incomplete
• Small sample properties of simultaneous error components models
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Panel structural modeling with weak instrumentation and covariance restrictions

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