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Estimation of structural econometric equations (in Russian)

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  • Stephen Pollock

    (Queen Mary College, University of London, UK)

Abstract

Derivations are offered for the LIML and the 2SLS estimators of single equations of the classical econometric simultaneous-equation system that differ from the usual ones. By assimilating both estimators to the method of moments, their essential similarities are highlighted. The LIML estimator is derived from a least-squares criterion that exploits the interpretation of the structural equation as an error-in-variables model, and the 2SLS estimator is obtained by an approximation that is asymptotically valid. The LIML estimator may be calculated via an iterative procedure that begins with the 2SLS estimator. The conventional derivations of the 2SLS estimator are also reviewed.

Suggested Citation

  • Stephen Pollock, 2007. "Estimation of structural econometric equations (in Russian)," Quantile, Quantile, issue 2, pages 49-59, March.
  • Handle: RePEc:qnt:quantl:y:2007:i:2:p:49-59
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    1. John A. Tauras & Patrick M. O'Malley & Lloyd D. Johnston, 2001. "Effects of Price and Access Laws on Teenage Smoking Initiation: A National Longitudinal Analysis," NBER Working Papers 8331, National Bureau of Economic Research, Inc.
    2. John A. Tauras, 1999. "The Transition to Smoking Cessation: Evidence from Multiple Failure Duration Analysis," NBER Working Papers 7412, National Bureau of Economic Research, Inc.
    3. Suranovic, Steven M. & Goldfarb, Robert S. & Leonard, Thomas C., 1999. "An economic theory of cigarette addiction," Journal of Health Economics, Elsevier, vol. 18(1), pages 1-29, January.
    4. Labeaga, Jose M., 1999. "A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco," Journal of Econometrics, Elsevier, vol. 93(1), pages 49-72, November.
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