Simultaneous equations and panel data (Q1186051)

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.