6533b7d4fe1ef96bd1263020
RESEARCH PRODUCT
Naturally constrained reduced form and stuctural parameters estimation
Pietro Balestra Marie-claude Picherysubject
[ MATH ] Mathematics [math]Regression modelMéthode moindre carréSimultaneous equation systemEstimation statistiqueStatistical estimationDouble moindre carré[MATH] Mathematics [math]Triple moindre carréRegressionModèle régressionSystème équation simultanéeParameter estimationLeast squares methodEstimation paramètredescription
To characterize such a situation, we introduce the concept of a "natural constraint", which is presented and discussed is section 1 of the present paper. Section 2 is concerned with the efficient estimation of the naturally constrained reduced form. From it, we derive efficient estimators of the structural parameters (by indirect GLS) and propose a simple test of the a priori restrictions. In section 3 we discuss estimation by 2SLS. In addition to the resultsobtained by Turkington and Pesaran, we develop a 2SLS-GLS estimator and assess its asymptotic properties. Several full information estimatorsof the 3SLS type are presented and compared in section 4 and some efficiency aspects of the instrumental variable method are studied. Finally,the major findings of this paper are summarized in section 5.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1988-01-01 |