Topics In Advanced Econometrics: Volume II Linear and Nonlinear Simultaneous Equations / Edition 1

Hardcover (Print)
Buy New
Buy New from
Used and New from Other Sellers
Used and New from Other Sellers
from $50.00
Usually ships in 1-2 business days
(Save 41%)
Other sellers (Hardcover)
  • All (11) from $50.00   
  • New (7) from $55.01   
  • Used (4) from $50.00   


This textbook is intended for graduate students and professionals who have an interest in linear and nonlinear simultaneous equation models. These models arise in a great many settings in econometrics. The author's aim is to present a readable account, starting from an introduction to the general linear structural econometric model. From there, the book covers the identification problem, maximum likelihood methods, two and three stage least square methods, the general nonlinear model, and more advanced topics such as the general nonlinear simultaneous equations model. The reader is assumed to have a basic background in probability theory but otherwise this account is self-contained.
Read More Show Less

Product Details

  • ISBN-13: 9780387941561
  • Publisher: Springer New York
  • Publication date: 1/7/1994
  • Edition description: 1994
  • Edition number: 1
  • Pages: 402
  • Product dimensions: 1.00 (w) x 6.14 (h) x 9.21 (d)

Table of Contents

1 Extension of Classical Methods I.- 1.1 Introduction.- 1.2 A Brief Historical Review.- 1.3 The Nature of the GLSEM.- 1.4 The GLSEM: Assumptions and Notation.- 1.4.1 Assumptions and Conventions.- 1.4.2 Notation.- 1.5 Inconsistency of OLS Estimators.- 1.6 Two Stage Least Squares (2SLS).- 1.6.1 The Original Derivation.- 1.6.2 An Alternative Formulation.- 1.7 Three Stage Least Squares (3SLS).- 1.8 Restricted 2SLS and 3SLS Estimators.- 1.9 Tests of Prior Restrictions.- 1.9.1 Generalities.- 1.9.2 A Restricted Least Squares Interpretation of 2SLS and 3SLS.- Questions and Problems.- Appendix to Chapter 1.- Preliminaries to Hausman’s Test.- Examples.- 2 Extension of Classical Methods II.- 2.1 Limiting Distributions.- 2.1.1 Preliminaries.- 2.1.2 Limiting Distributions for Static GLSEM.- 2.1.3 Limiting Distributions for Dynamic GLSEM.- 2.2 Forecasting from the GLSEM.- 2.2.1 Generalities.- 2.2.2 Forecasting from the URF.- 2.2.3 Forecasting from the RRF.- 2.3 The Vector Autoregressive Model (VAR).- 2.4 Instrumental Variables (IV).- 2.4.1 2SLS and 3SLS as IV Estimators.- 2.4.2 2SLS and 3SLS as Optimal IV Estimators.- 2.5 IV and Insufficient Sample Size.- 2.5.1 The Nature of the Problem.- 2.5.2 Iterated Instrumental Variables (IIV).- 2.6 k-class and Double k-class Estimators.- 2.7 Distribution of LM Derived Estimators.- 2.8 Properties of Specification Tests.- 2.8.1 Single Equation 2SLS.- 2.8.2 Systemwide 2SLS and 3SLS.- 2.8.3 Relation to Hausman’s Test.- Questions and Problems.- Appendix to Chapter 2.- Convergence of Second Moment Matrices.- Convergence for Dependent Sequences.- Preliminaries and Miscellaneous.- Convergence of Second Moments of Final Form Errors.- 3 Maximum Likelihood Methods I.- 3.1 Introduction.- 3.2 The Identification Problem.- 3.2.1 Generalities.- 3.2.2 The Simple Supply-Demand Model.- 3.2.3 Identification by Exclusion Restrictions.- 3.2.4 Identification by Linear Restrictions.- 3.2.5 Identification and the Reduced Form.- 3.2.6 Covariance and Cross Equation Restrictions.- 3.2.7 A More General Framework.- 3.2.8 Parametric Nonlinearities and Identification.- 3.3 ML Estimation of the RF.- 3.3.1 General Discussion and ILS.- 3.3.2 Estimation of the Reduced Form.- 3.4 FIML Estimation.- 3.5 Simplified FIML Estimators.- 3.6 Properties of Simplified Estimators.- 3.6.1 Consistency.- 3.7 Limiting Distribution of FIML.- Questions and Problems.- 4 LIML Estimation Methods.- 4.1 The “Concentrated” Likelihood Function.- 4.1.1 A Subset of m* Structural Equations.- 4.2 The Single Equation LIML Estimator.- 4.3 Consistency of the LIML Estimator.- 4.4 An Interesting Interpretation of LIML.- 4.5 Indirect Least Squares (ILS).- 4.6 Relation of LIML to Other Estimators.- 4.7 Limiting Distribution of LIML Estimators.- 4.8 Classic Identifiability Tests.- Questions and Problems.- Appendix to Chapter 4.- Limiting Distribution of (T? — 1).- 5 Nonlinear ML Methods.- 5.1 Motivation.- 5.2 A Mathematical Digression.- 5.3 Aspects of Likelihood Functions.- 5.3.1 An Interesting Inequality.- 5.4 Fisher Information.- 5.4.1 Alternative Representation of the Information Matrix.- 5.5 The Cramer-Rao Bounds.- 5.6 Martingale Properties of Likelihood Functions.- 5.7 Kullback Information.- 5.8 Convergence A.C. of ML Estimators.- 5.8.1 Independent Observations.- 5.8.2 Generalizations.- 5.9 The General Nonlinear Model (GNLM).- 5.9.1 Consistency.- 5.9.2 Identification.- 5.9.3 Asymptotic Normality.- 5.10 The GNLM with Restrictions.- 5.11 Tests of Restrictions.- 5.11.1 Generalities.- 5.11.2 The Conformity Test.- 5.11.3 The Likelihood Ratio Test.- 5.11.4 The Lagrange Multiplier Test.- 5.11.5 Equivalence of the Three Tests.- Questions and Problems.- 6 Topics in NLSE Theory.- 6.1 Nonlinear ML.- 6.1.1 Identification.- 6.1.2 Consistency of the ML Estimator.- 6.1.3 Limiting Distribution of ML Estimators.- 6.1.4 Relation of Structural and Covariance Parameter (ML) Estimators.- 6.1.5 Estimators in Structurally Misspecified Models.- 6.2 Nonlinear 2SLS.- 6.2.1 Identification and Consistency of NL2SLS.- 6.2.2 Asymptotic Normality of NL2SLS.- 6.2.3 Choice of an Optimal NL2SLS Estimator.- 6.3 Nonlinear 3SLS.- 6.3.1 Identification and Consistency of NL3SLS.- 6.3.2 Asymptotic Normality of NL3SLS.- 6.3.3 Optimum NL3SLS and Computational Aspects.- 6.4 GMM.- 6.4.1 Reformulation of GMM as NL2SLS and NL3SLS.- 6.4.2 Identification and Consistency.- 6.4.3 Asymptotic Normality.- 6.4.4 Tests of Restrictions.- 6.5 Causality and Related Issues.- 6.5.1 Introduction.- 6.5.2 Basic Concepts.- Questions and Problems.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star


4 Star


3 Star


2 Star


1 Star


Your Rating:

Your Name: Create a Pen Name or

Barnes & Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation


  • - By submitting a review, you grant to Barnes & and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Terms of Use.
  • - Barnes & reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)