Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
AbstractIn modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and probit (Amemiya, Schmidt) and multi-market macroeconomic disequilibrium (Gourieroux, Laffont and Nonfort).
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 48 (1980)
Issue (Month): 3 (April)
Other versions of this item:
- C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979. "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers 0343, National Bureau of Economic Research, Inc.
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- Martin, C. & Portes, R., 1989.
"Effective Demands and Spillovers,"
DELTA Working Papers
89-03, DELTA (Ecole normale supérieure).
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