On the efficient estimation of simultaneous equations with covariance restrictions

DOI10.1016/0304-4076(89)90005-5zbMath0692.62089OpenAlexW2088931338MaRDI QIDQ583806

Manuel Arellano

Publication date: 1989

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(89)90005-5

zbMATH Keywords

linear modelsminimum distance estimatorsmultivariate regressionsimultaneous equations modelnonlinear least squares estimatorscovariance parametersestimators of slopefourth-order momentsgeneral covariance restrictionsnonlinear restrictionsquasi-maximum likelihood estimatorsrelative inefficiency

Mathematics Subject Classification ID

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

Cites Work

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• Multivariate regression models for panel data
• A note on the information matrix of the multivariate normal distribution
• The structure of simultaneous equations estimators
• Estimating Dynamic Random Effects Models from Panel Data Covering Short Time Periods
• Pseudo Maximum Likelihood Methods: Theory
• Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions
• The Elimination Matrix: Some Lemmas and Applications
• Efficient Estimation of Simultaneous Equation Systems

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