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Simultaneous Equations with Error Components

In: Econometric Analysis of Panel Data

Author

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  • Badi H. Baltagi

    (Syracuse University)

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.

Suggested Citation

  • Badi H. Baltagi, 2021. "Simultaneous Equations with Error Components," Springer Texts in Business and Economics, in: Econometric Analysis of Panel Data, edition 6, chapter 0, pages 157-186, Springer.
    • Handle: RePEc:spr:sptchp:978-3-030-53953-5_7
    DOI: 10.1007/978-3-030-53953-5_7
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