Simultaneous equations with error components

DOI10.1016/0304-4076(81)90026-9MaRDI QIDQ1166223zbMATH OpenOpenAlexFDO

Authors Badi H. Baltagi

Publication date 1981

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

Full work available at URL https://doi.org/10.1016/0304-4076(81)90026-9

zbMATH Keywords

error componentsfull information estimatorlimited information estimatorsimultaneous equationsthree-stage least squares procedurestwo- stage least squares procedures

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• A Note on Error Components Models
• Error Components and Seemingly Unrelated Regressions
• Estimation of linear models with crossed-error structure
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• On Seemingly Unrelated Regressions with Error Components
• The Estimation of the Variances in a Variance-Components Model
• The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models
• The Use of Error Components Models in Combining Cross Section with Time Series Data
• Useful matrix transformations for panel data analysis: a survey

Cited in

(19)

• Simultaneous equations and panel data
• Simultaneous error components models when panel data are incomplete
• Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline
• Efficiency comparison of random effects two stage least squares estimators
• Small sample properties of simultaneous error components models
• Estimating multi-way error components models with unbalanced data structures.
• Estimation of SEM with GARCH errors
• Multivariate longitudinal modeling of insurance company expenses
• Panel data models with spatially correlated error components
• Panel structural modeling with weak instrumentation and covariance restrictions
• AN ALTERNATIVE DERIVATION OF MUNDLAK'S FIXED EFFECTS RESULTS USING SYSTEM ESTIMATION
• Useful matrix transformations for panel data analysis: a survey
• A control function approach to estimate panel data binary response model
• Instrumental variable estimation of a spatial autoregressive panel model with random effects
• EC3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects
• Fisher information matrix for two-way random effects model with heteroscedasticity
• A note on the application of EC2SLS and EC3SLS estimators in panel data models
• The judiciary system as a productivity factor; the European experience
• A computational algorithm for multiple equation models with panel data

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