Results 291 to 300 of about 518,551 (342)

Disequilibrium Econometrics in Simultaneous Equations Systems

Econometrica, 1980
This paper considers the econometric problems raised by multi-market disequilibrium models. It uses a specification which is derived from general disequilibrium theory and, therefore, provides a first bridge between the economic theory approach and the econometric theory approach of disequilibrium.
Gourieroux, Christian, Laffont, Jean-Jacques, Monfort, Alain   +2 more
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Heteroskedasticity in simultaneous equation systems

Economics Letters, 1991
Abstract 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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A Family of Estimators for Simultaneous Equation Systems

International Economic Review, 1974
THE 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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Comparing Single-Equation Estimators in a Simultaneous Equation System

Econometric Theory, 1986
Comparisons 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, Naoto Kunitomo, Kimio Morimune   +2 more
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Simultaneous Equations Systems

1995
AbstractLinear 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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Systems of Simultaneous Equations

1978
In 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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Method‐of‐moment view of linear simultaneous equation systems [PDF]

Statistica Neerlandica, 2008
In this paper, we review the modern method‐of‐moment‐based approaches to identification and estimation of linear simultaneous equation systems. First, we present the rank condition for the structural form (SF) parameter identification. The rank condition comes naturally and is much easier to understand than that in the conventional reduced‐form‐based ...
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Coefficients of correlation for simultaneous equation systems

Journal of Econometrics, 1977
Abstract 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

1991
This 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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STRUCTURAL IDENTIFICATION METHOD OF SIMULTANEOUS EQUATIONS SYSTEMS

IFAC Proceedings Volumes, 2002
The objective of this paper is to develop a method for selection of the ...
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