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A Family of Estimators for Simultaneous Equation Systems
International Economic Review, 1974THE PURPOSE OF THIS PAPER is to set forthl, in a systematic fashion, a family of estimators for systems of simultaneous stochastic equations based on modifications and simplications of the method of maximum likehood. It is hoped that this family will satisfy the need in most practical applications involving linear as well as non-linear structural ...
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Heteroskedasticity in simultaneous equation systems
Economics Letters, 1991Abstract Little has been written on heteroskedasticity in simultaneous equation systems. This paper proposed a two-stage instrumental variable estimator that is more efficient than both the standard 2SLS estimator, with and without weights, and an estimator proposed by White.
Wim Vijverberg, Si-Gyoung Lee
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Simultaneous Solution of Control System Equations in EMTP
IEEE Transactions on Power Systems, 2006The existing approach for solving control systems in the Electromagnetics Transients Program is to insert one-time-step delays for breaking feedback loops when one or more nonlinear functions is encountered. Although this approach may remain acceptable for several well-behaved cases, it provides a nonsimultaneous solution for a nonlinear system.
J. Mahseredjian +4 more
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Comparing Single-Equation Estimators in a Simultaneous Equation System
Econometric Theory, 1986Comparisons of estimators are made on the basis of their mean squared errors and their concentrations of probability computed by means of asymptotic expansions of their distributions when the disturbance variance tends to zero and alternatively when the sample size increases indefinitely.
T. W. Anderson +2 more
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Systems of Simultaneous Equations
1978In previous chapters we examined extensively the GLM under a variety of circumstances. A common feature of these discussions was a certain aspect of unidirectionality. Generally, variations in the explanatory (right-hand) variables were transmitted to the dependent (left-hand) variable, but not vice versa.
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The Bias of Instrumental Variable Estimators of Simultaneous Equation Systems
International Economic Review, 1977This paper examines the discussion in the econometric literature of the conditioins which instruments should satisfy in order to be used in the single equation Iiistrumental Variable (IV) estimation of structural parameters in a simultaneouIs equation system. The Two Stage Least Squares (TSLS) estimator can be interpreted as an IV estimator.
Phillips, Garry D A, Hale, C
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Simultaneous Equations Systems
1995AbstractLinear system modelling is structured in 10 stages from the general to the specific. The dynamic statistical system is the maintained model, defined by the variables of interest, their distributions, whether they are modelled or non‐modelled, and their lag polynomials. An econometric model is a (possibly) simultaneous‐equations entity, which is
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Coefficients of correlation for simultaneous equation systems
Journal of Econometrics, 1977Abstract This paper presents measures of correlation for use with either a single equation within a simultaneous system or for the whole system, which specifically account for the identifying restrictions. The measures lie between zero and one and have the same interpretation as the familiar R 2 used with classical least squares.
Carter, Richard A. L., Nagar, Anirudh L.
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Systems of Dynamic Simultaneous Equations
1991This chapter serves to point out some possible extensions of the models considered so far and to draw attention to potential problems related to such extensions. So far, we have assumed that all stochastic variables of a system have essentially the same status in that they are all determined within the system.
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TESTING FOR SERIAL CORRELATION IN SYSTEMS OF SIMULTANEOUS REGRESSION EQUATIONS
Biometrika, 1957where y is a vector of jointly dependent variables, x is a vector of predetermined or independent variables, e is a vector of errors, and A and B are matrices of unknown parameters. It is usual to assume that A is square and non-singular, that the e's are random variables with zero means and constant variance matrix, and that the x's are either ...
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