Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes

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Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes

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C. Gourieroux
Jean-Jacques Laffont
A. Monfort

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Abstract

In modeling disequilibrium macroeconomic systems which one would want to subject to econometric estimation one typically faces the problem of whether the structural model can determine a unique equilibrium. The problem inherits a special form because the regimes in which the equilibria can lie are each linear. By placing restrictions on the parameters that insure the uniqueness of such a solution for each value of the exogenous and random variables, we can improve the estimation procedure. This paper provides necessary and sufficient conditions for uniqueness -- or "coherency." These conditions are applied to a variety of models that have been prominent in the literature on econometrics with 'switching regimes' such as those of self-selectivity (Maddala), simultaneous equation tobit and probit (Amemiya, Schmidt) and multi-market macroeconomic disequilibrium (Gourieroux, Laffont and Nonfort).

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0343.

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Date of creation: May 1979
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Handle: RePEc:nbr:nberwo:0343

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Article
- Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-95, April. [Downloadable!] (restricted)

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Martin, Christopher & Portes, Richard, 1990. " Effective Demand and Spillovers," Scandinavian Journal of Economics, Blackwell Publishing, vol. 92(1), pages 109-20.
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- Martin, C. & Portes, R., 1989. "Effective Demands and Spillovers," DELTA Working Papers 89-03, DELTA (Ecole normale supérieure).

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