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Alternative estimates of the Klein-I model

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Author Info

  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

This work is mainly intended for applied econometricians and students interested in development and application of estimation methods for structural econometric models. For the Klein-I model, detailed numerical tables of the parameters of the structural and restricted reduced form, of their covariance matrices and of the covariance matrices of the related disturbances, obtained by 8 different estimation methods, are displayed. The authors will welcome any comment, correction and additional results for this model.

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File URL: http://mpra.ub.uni-muenchen.de/23337/
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File URL: http://mpra.ub.uni-muenchen.de/23746/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 23337.

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Date of creation: Sep 1981
Date of revision: Sep 1981
Handle: RePEc:pra:mprapa:23337

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Related research

Keywords: Simulatenous equations; econometric model; Klein-I; estimation methods; 2SLS; 3SLS; FIML; LIVE; IIV; FIVE;

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References

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  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Note on the Numerical Results by Goldberger, Nagar, and Odeh," Econometrica, Econometric Society, vol. 47(2), pages 505-06, March.
  2. Jerry A. Hausman, 1974. "Full Information Instrumental Variables Estimation of Simultaneous Equations Systems," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 91-102 National Bureau of Economic Research, Inc.
  3. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
  4. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-24, August.
  5. Belsley, David A., 1980. "On the efficient computation of the nonlinear full-information maximum-likelihood estimator," Journal of Econometrics, Elsevier, vol. 14(2), pages 203-225, October.
  6. Hendry, D F, 1971. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 257-72, June.
  7. Besley, David A., 1979. "On the computational competitiveness of full-information maximum-likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models," Journal of Econometrics, Elsevier, vol. 9(3), pages 315-342, February.
  8. James M. Brundy & Dale W. Jorgenson, 1974. "The Relative Efficiency of Instrumental Variables Estimators of Systems of Simultaneous Equations," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 129-150 National Bureau of Economic Research, Inc.
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