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

DOI10.2307/2526597MaRDI QIDQ3704789zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(12)

• A computational algorithm for multiple equation models with panel data
• Multivariate longitudinal modeling of insurance company expenses
• 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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