Simultaneous equations with covariance restrictions

DOI10.1016/0304-4076(90)90071-ZzbMath0694.62058OpenAlexW2138662837MaRDI QIDQ909403

Thomas J. Rothenberg, Paul A. Ruud

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90071-z

zbMATH Keywords

Linearizationcovariance restrictionsefficient three-stage least- squares estimatorFull-information maximum-likelihoodinstrumental-variables interpretationminimum-distance estimatorsnonnormality in the errorssimultaneous-equations model

Mathematics Subject Classification ID

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

Related Items (2)

Limited information estimation and testing subject to linear constraints ⋮ A separability result for gmm estimation, with applications to gls prediction and conditional moment tests

Cites Work

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• Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations
• A note on the information matrix of the multivariate normal distribution
• The structure of simultaneous equations estimators
• Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions
• An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models
• Efficient Estimation of Simultaneous Equation Systems

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