IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v74y1996i2p387-405.html
   My bibliography  Save this article

Estimating systems of equations with different instruments for different equations

Author

Listed:
  • Wooldridge, Jeffrey M.

Abstract

No abstract is available for this item.

Suggested Citation

  • Wooldridge, Jeffrey M., 1996. "Estimating systems of equations with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 74(2), pages 387-405, October.
    • Handle: RePEc:eee:econom:v:74:y:1996:i:2:p:387-405
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4076(95)01762-3
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Montgomery, Edward & Shaw, Kathryn & Benedict, Mary Ellen, 1992. "Pensions and Wages: An Hedonic Price Theory Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 111-128, February.
    3. Kahn, Shulamit & Lang, Kevin, 1988. "Efficient Estimation of Structural Hedonic Systems," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(1), pages 157-166, February.
    4. anonymous, 1992. "Comment requested," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Feb, pages 126-126.
    5. Gallant, A. Ronald & Jorgenson, Dale W., 1979. "Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 275-302.
    6. Hausman, Jerry A., 1977. "Errors in variables in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 5(3), pages 389-401, May.
    7. Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-1395, November.
    8. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 423-425, October.
    9. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
    10. Schmidt, Peter, 1990. "Three-stage least squares with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 43(3), pages 389-394, March.
    11. Epple, Dennis, 1987. "Hedonic Prices and Implicit Markets: Estimating Demand and Supply Functions for Differentiated Products," Journal of Political Economy, University of Chicago Press, vol. 95(1), pages 59-80, February.
    12. Ahn, Seung C. & Schmidt, Peter, 1995. "Efficient estimation of models for dynamic panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 5-27, July.
    13. Diamond, Douglas Jr. & Smith, Barton A., 1985. "Simultaneity in the market for housing characteristics," Journal of Urban Economics, Elsevier, vol. 17(3), pages 280-292, May.
    14. Mendelsohn, Robert, 1985. "Identifying Structural Equations with Single Market Data," The Review of Economics and Statistics, MIT Press, vol. 67(3), pages 525-529, August.
    15. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
    16. Bartik, Timothy J, 1987. "The Estimation of Demand Parameters in Hedonic Price Models," Journal of Political Economy, University of Chicago Press, vol. 95(1), pages 81-88, February.
    17. Rosen, Sherwin, 1974. "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy, University of Chicago Press, vol. 82(1), pages 34-55, Jan.-Feb..
    18. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
    19. Brown, James N & Rosen, Harvey S, 1982. "On the Estimation of Structural Hedonic Price Models," Econometrica, Econometric Society, vol. 50(3), pages 765-768, May.
    20. Breusch, Trevor S & Mizon, Grayham E & Schmidt, Peter, 1989. "Efficient Estimation Using Panel Data," Econometrica, Econometric Society, vol. 57(3), pages 695-700, May.
    21. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-968, May.
    22. Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
    23. Hausman, Jerry A, 1975. "An Instrumental Variable Approach to Full Information Estimators for Linear and Certain Nonlinear Econometric Models," Econometrica, Econometric Society, vol. 43(4), pages 727-738, July.
    24. Chamberlain, Gary, 1992. "Sequential Moment Restrictions in Panel Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 20-26, January.
    25. Anderson, T. W. & Hsiao, Cheng, 1982. "Formulation and estimation of dynamic models using panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 47-82, January.
    26. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
    2. Jens Foerderer, 2020. "Interfirm Exchange and Innovation in Platform Ecosystems: Evidence from Apple’s Worldwide Developers Conference," Management Science, INFORMS, vol. 66(10), pages 4772-4787, October.
    3. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
    4. Frick, Fabian & Sauer, Johannes, 2016. "Deregulation And Productivity – Empirical Evidence On Dairy Production," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244884, German Association of Agricultural Economists (GEWISOLA).
    5. Snober Fazal & Muhammad Azhar Bhatti & Tusawar Iftikhar Ahmad, 2019. "Sectorial growth, Exchange rate and Fiscal policy in Developing Economies: The Interlinkages," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 1(2), pages 68-81, December.
    6. Adelina Gschwandtner & Jose Eduardo Ribeiro & Cesar Revoredo-Giha & Michael Burton, 2021. "Combining Stated and Revealed Preferences for valuing Organic Chicken Meat," Studies in Economics 2113, School of Economics, University of Kent.
    7. Ahn, Seung C. & Schmidt, Peter, 1997. "Efficient estimation of dynamic panel data models: Alternative assumptions and simplified estimation," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 309-321.
    8. Letort, Elodie & Carpentier, Alain, 2009. "Endogeneity of acreage choices in input allocation equations: implied problems and a solution," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49217, Agricultural and Applied Economics Association.
    9. Thanh Tam Nguyen-Huu & Minh Nguyen-Khac & Quoc Tran-Nam, 2017. "The role of environmental regulations and innovation in TFP convergence: Evidence from manufacturing SMEs in Vietnam," WIDER Working Paper Series 092, World Institute for Development Economic Research (UNU-WIDER).
    10. Tracey L. Farrigan & John M. Halstead & Martin L. Shields & Douglas E. Morris & Edmund F. Jansen, Jr., 2001. "Anatomy of a Community-Level Fiscal Impact Model: FIT-4-NH," The Review of Regional Studies, Southern Regional Science Association, vol. 31(1), pages 13-38, Summer.
    11. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
    12. Qin, Duo, 2015. "Resurgence of the endogeneity-backed instrumental variable methods," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-35.
    13. Chanthawong, Anuman & Dhakal, Shobhakar & Jongwanich, Juthathip, 2016. "Supply and demand of biofuels in the fuel market of Thailand: Two stage least square and three least square approaches," Energy, Elsevier, vol. 114(C), pages 431-443.
    14. Johannes Bettin & Meike Wollni, 2020. "Environmental Concern and Urbanization in India: Towards Psychological Complexity," Sustainability, MDPI, vol. 12(24), pages 1-25, December.
    15. Shi, Miaoying & Yin, Runsheng & Lv, Hongdi, 2017. "An empirical analysis of the driving forces of forest cover change in northeast China," Forest Policy and Economics, Elsevier, vol. 78(C), pages 78-87.
    16. Vincenzo Mollisi & Gabriele Rovigatti, 2017. "Theory and Practice of TFP Estimation: the Control Function Approach Using Stata," CEIS Research Paper 399, Tor Vergata University, CEIS, revised 14 Feb 2017.
    17. Kan, Kamhon & Tsai, Wei-Der, 2005. "Parenting practices and children's education outcomes," Economics of Education Review, Elsevier, vol. 24(1), pages 29-43, February.
    18. Thanh Tam Nguyen-Huu & Minh Nguyen-Khac & Quoc Tran-Nam, 2017. "The role of environmental regulations and innovation in TFP convergence: Evidence from manufacturing SMEs in Vietnam," WIDER Working Paper Series wp-2017-92, World Institute for Development Economic Research (UNU-WIDER).
    19. Wooldridge, Jeffrey M., 2009. "On estimating firm-level production functions using proxy variables to control for unobservables," Economics Letters, Elsevier, vol. 104(3), pages 112-114, September.
    20. Ribeiro, Jose Eduardo & Gschwandtner, Adelina & Revoredo-Giha, Cesar, 2021. "Estimation of a Hedonic Price Equation for Chicken Meat in the UK: Does the Organic Attribute Matter?," 2021 Conference, August 17-31, 2021, Virtual 314942, International Association of Agricultural Economists.
    21. Frazis, Harley & Loewenstein, Mark A., 2003. "Estimating linear regressions with mismeasured, possibly endogenous, binary explanatory variables," Journal of Econometrics, Elsevier, vol. 117(1), pages 151-178, November.
    22. Duo Qin & Yanqun Zhang, 2013. "A History of Polyvalent Structural Parameters: the Case of Instrument Variable Estimators," Working Papers 183, Department of Economics, SOAS University of London, UK.
    23. Qin, Duo, 2014. "Resurgence of instrument variable estimation and fallacy of endogeneity," Economics Discussion Papers 2014-42, Kiel Institute for the World Economy (IfW Kiel).
    24. Devendra Kumar Jain & Naqeeb Ur-Rehman & Omonjon Ganiev & Kapil Arora, 2023. "Currencies of greater interest for central Asian economies: an analysis of exchange market pressure amid global and regional interdependence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-18, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
    2. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
    3. Chamberlain, Gary, 2022. "Feedback in panel data models," Journal of Econometrics, Elsevier, vol. 226(1), pages 4-20.
    4. Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
    5. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
    6. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
    7. Brandt, Loren & Hosios, Arthur J, 1996. "Credit, Incentives, and Reputation: A Hedonic Analysis of Contractual Wage Profiles," Journal of Political Economy, University of Chicago Press, vol. 104(6), pages 1172-1226, December.
    8. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers 1233, Cowles Foundation for Research in Economics, Yale University.
    9. Steven S. Vickner, 2015. "Estimating the Implicit Price of Convenience: A Hedonic Analysis of the US Breakfast Sausage Market," Agribusiness, John Wiley & Sons, Ltd., vol. 31(2), pages 281-292, April.
    10. Helen Tauchen & Ann Dryden Witte, 2001. "Estimating Hedonic Models: Implications of the Theory," NBER Technical Working Papers 0271, National Bureau of Economic Research, Inc.
    11. Ahn, Seung C. & Lee, Young H. & Schmidt, Peter, 2013. "Panel data models with multiple time-varying individual effects," Journal of Econometrics, Elsevier, vol. 174(1), pages 1-14.
    12. Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 133(1), pages 387-409, July.
    13. Henrik Andersson, 2008. "Willingness to Pay for Car Safety: Evidence from Sweden," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 41(4), pages 579-594, December.
    14. Nicolai V. Kuminoff & V. Kerry Smith & Christopher Timmins, 2010. "The New Economics of Equilibrium Sorting and its Transformational Role for Policy Evaluation," NBER Working Papers 16349, National Bureau of Economic Research, Inc.
    15. Andersen, Laura M. & Smed, Sinne, 2010. "What Is It Consumers Really Want And Why? The Case Of Fat In Milk," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany 116455, European Association of Agricultural Economists.
    16. Laura Andersen & Sinne Smed, 2013. "What is it consumers really want, and how can their preferences be influenced? The case of fat in milk," Empirical Economics, Springer, vol. 45(1), pages 323-347, August.
    17. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
    18. Anne Beeson Royalty, "undated". "A Discrete Choice Approach to Estimating Workers' Marginal Valuation of Fringe Benefits," Working Papers 98008, Stanford University, Department of Economics.
    19. Olivier Marchand & Eric Skhiri, 1995. "Prix hédoniques et estimation d'un modèle structurel d'offre et de demande de caractéristiques [Une application au marché de la location de logements en France ]," Économie et Prévision, Programme National Persée, vol. 121(5), pages 127-140.
    20. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:74:y:1996:i:2:p:387-405. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.