Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (Q579812)
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scientific article; zbMATH DE number 4015979
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances |
scientific article; zbMATH DE number 4015979 |
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Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances (English)
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1986
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A recursive instrumental variable algorithm is proposed for estimating the structural parameters of a simultaneous equation model with autoregressive error terms. The choice of the instruments is discussed in order to obtain asymptotically efficient estimation of the structural parameters.
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serial correlation
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recursive instrumental variable algorithm
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simultaneous equation model
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autoregressive error terms
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asymptotically efficient estimation
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structural parameters
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