Simultaneous Equations Estimation

Simultaneous Equations Estimation

by Carl F. Christ

Product Details

Elgar, Edward Publishing, Inc.
Publication date:
International Library of Critical Writings in Econometrics
Product dimensions:
6.69(w) x 9.45(h) x (d)

Table of Contents

Pt. IThe Nature and Use of Simultaneous Equations Models
1Economic Measurements for Policy and Prediction3
2When is an Equation System Complete for Statistical Purposes?29
Pt. IITheoretical Restrictions and the Identifiability of Parameters in Econometric Models
3Identification Problems in Economic, Model Construction49
4Restrictions on the Variance-Covariance Matrix of the Disturbance Terms, II: The Covariances69
5Nonlinearities in the Variables and the A Priori Restrictions105
6Identifiability Criteria for a System of Equations as a Whole142
7On the Cost of Approximate Specification in Simultaneous Equation Estimation153
8On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics185
Pt. IIIEstimation Methods of the Cowles Commission
9The Statistical Implications of a System of Simultaneous Equations197
10The Probability Approach in Econometrics209
11The Estimation of Simultaneous Linear Economic Relationships224
Pt. IVGeneralized Least Squares and Two-Stage Least Squares
12On Least Squares and Linear Combination of Observations277
13From: Economic Forecasts and Policy, Contributions to Economic Analysis284
14A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation302
15On the Estimation of Triangular Structural Systems309
16The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n+1 Endogenous Variables314
Pt. VInstrumental Variables
17Errors in Variables335
18The Estimation of Economic Relationships Using Instrumental Variables345
19Efficient Estimation of Simultaneous Equations by Instrumental Variables368
20An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models386
Pt. VIThree-Stage Least Squares and Related Methods
21Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations401
22On the Efficiency of Three-Stage Least Squares Estimation426
23Efficient Estimation of Simultaneous Equation Systems432
24Three-Stage Least-Squares and Full Maximum Likelihood Estimates452
Pt. VIIAutocorrelated Disturbances
25The Estimation of Relationships with Autocorrelated Residuals by the Use of Instrumental Variables459
26Efficient Estimation of Simultaneous Equations with Auto-Regressive Errors by Instrumental Variables474
Pt. VIIIRelations Among Estimation Methods
27Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations483
28The Structure of Simultaneous Equations Estimators495
Name Index533

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