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Simultaneous equations with error components

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  • Baltagi, Badi H.

Abstract

Endogeneity of the right-hand regressors is a serious problem in econometrics. By endogeneity, we mean the correlation of the right-hand-side regressors and the disturbances. This may be due to the omission of relevant variables, measurement error, sample selectivity, self-selection, or other reasons. Endogeneity causes inconsistency of the usual OLS estimates and requires instrumental variable (IV) methods like two-stage least squares (2SLS) to obtain consistent parameter estimates.
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Suggested Citation

  • Baltagi, Badi H., 1981. "Simultaneous equations with error components," Journal of Econometrics, Elsevier, vol. 17(2), pages 189-200, November.
    • Handle: RePEc:eee:econom:v:17:y:1981:i:2:p:189-200
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