The reduced form of recursive models: Small sample properties

DOI10.1016/0024-3795(95)00527-7zbMath0843.62070OpenAlexW2010011762MaRDI QIDQ1914234

Hans Schneeweiss

Publication date: 21 August 1996

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(95)00527-7

zbMATH Keywords

ordinary least squaresindirect estimatorstructural formequality of covariance matricesreduced formdirect estimatorendogeneous variablesrecursive multiequation model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Matrix equations and identities (15A24)

Cites Work

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• Econometric Issues in the Analysis of Regressions with Generated Regressors
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• When are two step estimators efficient?
• A Reinterpretation of Two and Three Stage Least Squares
• Partially Restricted Reduced Forms: Asymptotic Relative Efficiency
• REDUCED FORM COEFFICIENT ESTIMATION AND FORECASTING FROM A SIMULTANEOUS EQUATION MODEL*
• Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency