Simultaneous Equations Estimation

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Table of Contents

Acknowledgements
Introduction
Pt. I The Nature and Use of Simultaneous Equations Models
1 Economic Measurements for Policy and Prediction 3
2 When is an Equation System Complete for Statistical Purposes? 29
Pt. II Theoretical Restrictions and the Identifiability of Parameters in Econometric Models
3 Identification Problems in Economic, Model Construction 49
4 Restrictions on the Variance-Covariance Matrix of the Disturbance Terms, II: The Covariances 69
5 Nonlinearities in the Variables and the A Priori Restrictions 105
6 Identifiability Criteria for a System of Equations as a Whole 142
7 On the Cost of Approximate Specification in Simultaneous Equation Estimation 153
8 On Finite Sample Distributions of Generalized Classical Linear Identifiability Test Statistics 185
Pt. III Estimation Methods of the Cowles Commission
9 The Statistical Implications of a System of Simultaneous Equations 197
10 The Probability Approach in Econometrics 209
11 The Estimation of Simultaneous Linear Economic Relationships 224
Pt. IV Generalized Least Squares and Two-Stage Least Squares
12 On Least Squares and Linear Combination of Observations 277
13 From: Economic Forecasts and Policy, Contributions to Economic Analysis 284
14 A Generalized Classical Method of Linear Estimation of Coefficients in a Structural Equation 302
15 On the Estimation of Triangular Structural Systems 309
16 The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n+1 Endogenous Variables 314
Pt. V Instrumental Variables
17 Errors in Variables 335
18 The Estimation of Economic Relationships Using Instrumental Variables 345
19 Efficient Estimation of Simultaneous Equations by Instrumental Variables 368
20 An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models 386
Pt. VI Three-Stage Least Squares and Related Methods
21 Three-Stage Least Squares: Simultaneous Estimation of Simultaneous Equations 401
22 On the Efficiency of Three-Stage Least Squares Estimation 426
23 Efficient Estimation of Simultaneous Equation Systems 432
24 Three-Stage Least-Squares and Full Maximum Likelihood Estimates 452
Pt. VII Autocorrelated Disturbances
25 The Estimation of Relationships with Autocorrelated Residuals by the Use of Instrumental Variables 459
26 Efficient Estimation of Simultaneous Equations with Auto-Regressive Errors by Instrumental Variables 474
Pt. VIII Relations Among Estimation Methods
27 Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations 483
28 The Structure of Simultaneous Equations Estimators 495
Name Index 533
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