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Simultaneous Equations with Three Way Error Components

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  • Marius C. O. Amba

    (University of Yaounde II)

Abstract

This paper derives limited and full information estimators for structural parameters of a simultaneous equations model with three-way error components for balanced panels. The model consists in a finite number of equations that incorporates three dimensions: area, individual and time. Monte Carlo experiments illustrate the gain in efficiency by performing their estimators rather than the existing procedures for simultaneous one-way and simultaneous two-way error components.

Suggested Citation

  • Marius C. O. Amba, 2021. "Simultaneous Equations with Three Way Error Components," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(3), pages 583-596, September.
    • Handle: RePEc:spr:jqecon:v:19:y:2021:i:3:d:10.1007_s40953-021-00236-0
    DOI: 10.1007/s40953-021-00236-0
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    References listed on IDEAS

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    More about this item

    Keywords

    Panel data; Simultaneous equations; Three-way error components;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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