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Specification tests in simultaneous equations systems
Journal of Econometrics, 1994zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Simultaneous Equation Models and Dynamic Systems
2015We discussed at the end of Chapter 7 one type of multiple equation model (SUR). Here we’ll present a second type of such models known as simultaneous equation models. A preliminary type of such a model was adopted at the beginning of Chapter 1, where the structural model described by Equations (1.1)–(1.3) was presented; finally the obtained reduced ...
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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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Estimation of Simultaneous Equations Systems
1974A certain class of estimators for the parameters of a simultaneous equations (S.E.) system can be shown to have an interpretation as an ordinary least squares (OLS) estimator. In view of this fundamental unity of estimation procedures, it would be desirable at this stage to review carefully the estimation problem in the context of the general linear ...
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The coefficient of determination and simultaneous equation systems
Journal of Econometrics, 1980Abstract In this paper we show that the Carter-Nagar (1977) R2's for single structural equations and systems are in fact R2 for the reduced form where the partially restricted reduced form estimation method is employed. We also show that the results of McElroy (1977) may be used to derive the Carter-Nagar system measure. If the reduced form equations
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Efficient Estimation of Simultaneous Equation Systems
Econometrica, 1964Rothenberg, T. J., Leenders, C. T.
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The Normal System of Simultaneous Differential Equations
1974We found in the L-transformation a superior tool for the solution of the initial value problem involving a single differential equation of n th order, when compared with the classical method. This was due to the fact that with the latter one has to adapt the derived solution to the specified initial values, while with the former this is accomplished ...
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A Note on Single Equation Estimators in Simultaneous Equation Systems
Revue de l'Institut International de Statistique / Review of the International Statistical Institute, 1970openaire +2 more sources
Reexamining the Estimation of Simultaneous Equations Systems [PDF]
, 1999 This paper generalises a classical theorem on the minimisation of the ratio of two quadratic forms so as to permit the denominator to be nonnegative definite, provides a modified formula for the minimum variance ratio estimation including the limited information maximum likelihood, and collaterally shows that the use of the principal components of some
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