Recursive estimation of simultaneous equation models

DOI10.1016/0304-4076(82)90036-7zbMath0489.62099OpenAlexW2052359800MaRDI QIDQ1166881

Jean-Paul Chavas

Publication date: 1982

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(82)90036-7

zbMATH Keywords

asymptotically efficientsimultaneous equation modelsrecursive instrumental variables estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (6)

Computationally efficient methods for estimating the updated-observations SUR models ⋮ A recursive three-stage least squares method for large-scale systems of simultaneous equations ⋮ Computational methods for modifying seemingly unrelated regressions models. ⋮ Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations ⋮ A comparative study of algorithms for solving seemingly unrelated regressions models ⋮ Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances

Cites Work

• Unnamed Item
• Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations
• The iterative instrumental variables method and the full information maximum likelihood method for estimating interdependent systems
• The Estimation of Economic Relationships using Instrumental Variables
• An Adaptive Learning Rule for Multiperiod Decision Problems
• A General Approximation to the Distribution of Instrumental Variables Estimates
• Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency

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