Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

DOI10.2307/1911032zbMath0658.62138OpenAlexW2003231999MaRDI QIDQ3806653

William E. Taylor, Whitney K. Newey, Jerry A. Hausman

Publication date: 1987

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/63493

zbMATH Keywords

identificationlinearized equationsinstrumental variablesasymptotically efficient estimatormoment restrictionsestimated residualscovariance restrictionsFIML estimationestimation of simultaneous equations modelsinstrument-residual orthogonalitythree- stage least squares

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

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