Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances

DOI10.1016/0167-9473(86)90031-9MaRDI QIDQ579812zbMATH OpenOpenAlexFDO

Authors Jean-Paul Chavas

Publication date 1986

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(86)90031-9

zbMATH Keywords

asymptotically efficient estimationautoregressive error termsrecursive instrumental variable algorithmserial correlationsimultaneous equation modelstructural parameters

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters.

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Cites work

• An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
• Asymptotic properties of full information estimators in dynamic autoregressive simultaneous equation models
• Best Linear Recursive Estimation for Mixed Linear Models
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• Instrumental variable methods for system identification
• Linear Dynamic Recursive Estimation from the Viewpoint of Regresion Analysis
• Recursive estimation and time-series analysis. An introduction
• Recursive estimation of simultaneous equation models
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems
• Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances
• Some observations on instrumental variable methods of time-series analysis
• The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
• The Estimation of Economic Relationships using Instrumental Variables
• The iterative instrumental variables method and the full information maximum likelihood method for estimating interdependent systems
• The Maximum Likelihood Estimation of Economic Relationships with Autoregressive Residuals

Cited in

(7)

• Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances
• Finite-sample properties of the instrumental-variables estimator for dynamic simultaneous-equation subsystems with ARMA disturbances
• The overdetermined recursive instrumental variable method
• Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors
• Order-recursive methods for instrumental variable estimates and instrumental variable inverses
• ON GOTT III'S DELTA t ARGUMENT : A GOOD TEST CREATING A BAD CONFIDENCE INTERVAL
• Iterative algorithm for minimizing the approximating functional of a system of structural equations

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