Simultaneous equations and panel data
type: Item
instance of: scholarly article
title: Simultaneous equations and panel data
zbMATH Open document ID: 0761.62163
DOI: 10.1016/0304-4076(92)90033-N
author: S. Singh
published in: Journal of Econometrics
publication date: 1992-06-28T00:00:00Z
review text: This paper integrates two separate lines of research on simultaneous equations models with panel data and individual effects (fixed or random) in each strucutural equation. In case these effects are random, and are correlated to some exogenous variables, efficient estimators are illustrated. These illustrations also cover the case that different instrumental variables apply to different equations. The paper is very well written and organized. Problems, alternative assumptions and specifications are introduced in stages, and then appropriate estimation methods are discussed. Proofs of the claims are delegated to an appendix, which makes a pleasant reading of the paper.
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 36157
zbMATH Keywords: unobservable individual effects
zbMATH Keywords: fixed effects
zbMATH Keywords: conditional likelihood approach
zbMATH Keywords: random effects
zbMATH Keywords: two-stage and three-stage least squares
zbMATH Keywords: simultaneous equations models
zbMATH Keywords: panel data
reviewed by: Georg Hasenkamp
MaRDI profile type: MaRDI publication profile
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full work available at URL: 0304-4076(92)90033-n
OpenAlex ID: W2052585874
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description: scientific article; zbMATH DE number 36157