Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances

DOI10.1016/0304-4076(76)90012-9zbMath0331.62078OpenAlexW2090501390MaRDI QIDQ1227431

Michio Hatanaka

Publication date: 1976

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

Full work available at URL: https://doi.org/10.1016/0304-4076(76)90012-9

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Stochastic analysis (60H99)

Related Items (11)

A Monte Carlo study of some limited and full information simultaneous equation estimators with normal and nonnormal autocorrelated disturbances ⋮ Large sample estimation and testing procedures for dynamic equation systems ⋮ Local and global identification and strong consistency in time series models ⋮ Unnamed Item ⋮ The small sample performance of some limited information estimators of a dynamic structural equation with autocorrelated errors^† ⋮ Limited information estimator of a dynamic structural equation with autocorrelated arrors: a correction and new evidence ⋮ Recursive instrumental variable estimation of simultaneous equations with autoregressive disturbances ⋮ Reduced rank regression with autoregressive errors ⋮ On the efficient estimation methods for the macro-economic models nonlinear in variables ⋮ FIML estimation of the dynamic simultaneous equations model with ARMA disturbances ⋮ OPTIMAL IV ESTIMATION OF SYSTEMS WITH STOCHASTIC REGRESSORS AND VAR DISTURBANCES WITH APPLICATIONS TO DYNAMIC SYSTEMS

Cites Work

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• The Theory of Parametric Identification
• Efficient Estimation of Simultaneous Equation Systems
• Restrictions on the Reduced Form and the Rank and Order Conditions
• Identification in Parametric Models
• A Simplified Structural Estimator for Large‐Scale Econometric Models¹
• Multiple Equation Systems with Stationary Errors

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