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Efficient Estimation and Identification of Simultaneous Equation Models with Covariance Restrictions

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Author Info
Hausman, Jerry A
Newey, Whitney K
Taylor, William E
Abstract

The authors consider estimation of simultaneous equations models with covariance restrictions. They consider FIML estimation and extend J. A. Hausman's instrumental variables interpretation of the FIML estim ator to the covariance restrictions case. A slight variation on the i nstrumental variables theme yields a simple, efficient alternative to FIML. The authors augment the original equation system by equations implied by the covariance restrictions, linearized around an initial consistent estimator, and perform three-stage least squares to obtain an asymptotically efficient estimator. They also present a simple me thod of obtaining an initial consistent estimator when the covariance restrictions are needed for identification. Finally, they consider i dentification from the standpoint of the moment restrictions implied by instrument-residual orthogonality and covariance restrictions. Copyright 1987 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 55 (1987)
Issue (Month): 4 (July)
Pages: 849-74
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Handle: RePEc:ecm:emetrp:v:55:y:1987:i:4:p:849-74

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  1. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  2. Robert G. King & Mark W. Watson, 1997. "Testing long-run neutrality," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 69-101. [Downloadable!]
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  3. Andrea Brischetto & Graham Voss, 1999. "A Structural Vector Autoregression Model of Monetary Policy in Australia," RBA Research Discussion Papers rdp1999-11, Reserve Bank of Australia. [Downloadable!]
  4. Jinyong Hahn & Jerry Hausman & Guido Kuersteiner, 2005. "Bias Corrected Instrumental Variables Estimation for Dynamic Panel Models with Fixed E¤ects," Boston University - Department of Economics - Working Papers Series WP2005-024, Boston University - Department of Economics. [Downloadable!]
  5. Steven Lehrer & Weili Ding, 2004. "Estimating Dynamic Treatment Effects from Project STAR," Econometric Society 2004 North American Summer Meetings 252, Econometric Society. [Downloadable!]
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