Estimation of structural econometric equations (in Russian)
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.
When requesting a correction, please mention this item's handle: RePEc:qnt:quantl:y:2007:i:2:p:49-59. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stanislav Anatolyev)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.